Mean-field doubly reflected backward stochastic differential equations

DOI10.3934/NACO.2022012zbMATH Open1519.49025arXiv2007.04598OpenAlexW3042028691WikidataQ115218768 ScholiaQ115218768MaRDI QIDQ6164087FDOQ6164087

Authors: Yinggu Chen, Said Hamadène, Tingshu Mu 

Publication date: 26 July 2023

Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Abstract: We study mean-field doubly reflected BSDEs. First, using the fixed point method, we show existence and uniqueness of the solution when the data which define the BSDE are $p$-integrable with $p=1$ or $p>1$. The two cases are treated separately. Next by penalization we show also the existence of the solution. The two methods do not cover the same set of assumptions.

Full work available at URL: https://arxiv.org/abs/2007.04598

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zbMATH Keywords

penalizationDynkin gamemean-fieldreflected backward SDEs

Mathematics Subject Classification ID

Mean field games and control (49N80) Mean field games (aspects of game theory) (91A16)

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Cited In (12)

• Mean-field reflected backward stochastic differential equations
• Backward doubly-stochastic differential equations with mean reflection
• Mean reflected stochastic differential equations with two constraints
• Quadratic mean-field reflected BSDEs
• Backward Stochastic Differential Equations with Double Mean Reflections
• Mean-field backward stochastic differential equations with reflection and related nonlocal PDEs in a convex domain
• On Z-mean reflected BSDEs
• General mean reflected backward stochastic differential equations
• Mean-field reflected backward doubly stochastic DE with continuous coefficients
• General mean-field reflected backward stochastic differential equations with locally monotone coefficients
• General coupled mean-field reflected forward-backward stochastic differential equations
• Mean-field reflected backward stochastic differential equations

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