On Z-mean reflected BSDEs
Probability
2021-08-25 v1
Abstract
In this paper we provide conditions for the existence of supersolutions to BSDEs with mean-reflections on the component. We show that, contrary to BSDEs with mean-reflections on the component, we cannot expect a supersolution with a deterministic increasing process . Nonetheless, we give conditions for the existence of a supersolution for a stochastic component 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.
Cite
@article{arxiv.2108.10631,
title = {On Z-mean reflected BSDEs},
author = {Joffrey Derchu and Thibaut Mastrolia},
journal= {arXiv preprint arXiv:2108.10631},
year = {2021}
}