General Mean Reflected BSDEs

arXiv2211.01187MaRDI QIDQ6415940FDOQ6415940

Authors: Ying Hu, Remi Moreau, Falei Wang 

Publication date: 2 November 2022

Abstract: The present paper is devoted to the study of backward stochastic differential equations with mean reflection formulated by Briand et al. [7]. We investigate the solvability of a generalized mean reflected BSDE, whose driver also depends on the distribution of the solution term $Y$. Using a fixed-point argument, BMO martingale theory and the $heta$-method, we establish the existence and uniqueness result for such BSDEs in several typical situations, including the case where the driver is quadratic with bounded or unbounded terminal condition.

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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