Mean-field reflected backward stochastic differential equations
Abstract
In this paper, we study a class of reflected backward stochastic differential equations (BSDEs) of mean-field type, where the mean-field interaction in terms of the distribution of the -component of the solution enters in both the driver and the lower obstacle. We consider in details the case where the lower obstacle is a deterministic function of and discuss the more general dependence on the distribution of . Under mild Lipschitz and integrability conditions on the coefficients, we obtain the well-posedness of such a class of equations. Under further monotonicity conditions, we show convergence of the standard penalization scheme to the solution of the equation, which hence satisfies a minimality property. This class of equations is motivated by applications in pricing life insurance contracts with surrender options.
Keywords
Cite
@article{arxiv.1911.06079,
title = {Mean-field reflected backward stochastic differential equations},
author = {Boualem Djehiche and Romuald Elie and Said Hamadène},
journal= {arXiv preprint arXiv:1911.06079},
year = {2019}
}