On Z-mean reflected BSDEs

DOI10.3150/23-BEJ1642MaRDI QIDQ6201862zbMATH OpenOpenAlexFDO

Authors Thibaut Mastrolia

Publication date 26 March 2024

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2108.10631, https://projecteuclid.org/journals/bernoulli/volume-30/issue-2/On-Z-mean-reflected-BSDEs/10.3150/23-BEJ1642.full

zbMATH Keywords

Malliavin calculusconstrained BSDEs

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: In this paper we provide conditions for the existence of supersolutions to BSDEs with mean-reflections on the $Z$ component. We show that, contrary to BSDEs with mean-reflections on the $Y$ component, we cannot expect a supersolution with a deterministic increasing process $K$. Nonetheless, we give conditions for the existence of a supersolution for a stochastic component $K$ and under various constraints. We formalize some previous arguments on the time-inconsistency of such problems, proving that a minimal supersolution is necessarily a solution in our framework.

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