Mean-Field Doubly Reflected Backward Stochastic Differential Equations

Yinggu Chen; Said Hamadene; Tingshu Mu

Mean-Field Doubly Reflected Backward Stochastic Differential Equations

Probability 2022-05-24 v3

Authors: Yinggu Chen , Said Hamadene , Tingshu Mu

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.

Keywords

reflected backward stochastic differential equations backward stochastic differential equations partial differential equations

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@article{arxiv.2007.04598,
  title  = {Mean-Field Doubly Reflected Backward Stochastic Differential Equations},
  author = {Yinggu Chen and Said Hamadene and Tingshu Mu},
  journal= {arXiv preprint arXiv:2007.04598},
  year   = {2022}
}

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22 pages

Mean-Field Doubly Reflected Backward Stochastic Differential Equations

Abstract

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