English

Quadratic Mean-Field Reflected BSDEs

Probability 2022-02-16 v2

Abstract

In this paper, we analyze mean-field reflected backward stochastic differential equations when the driver has quadratic growth in the second unknown zz. Using linearization technique and BMO martingale theory, we first apply fixed point argument to establish uniqueness and existence result for the case with bounded terminal condition and obstacle. Then, with the help of a θ\theta-method, we develop a successive approximation procedure to remove the boundedness condition on the terminal condition and obstacle when the generator is concave (or convex) with respect to the 2nd unknown zz

Keywords

Cite

@article{arxiv.2201.10359,
  title  = {Quadratic Mean-Field Reflected BSDEs},
  author = {Ying Hu and Remi Moreau and Falei Wang},
  journal= {arXiv preprint arXiv:2201.10359},
  year   = {2022}
}

Comments

improved results and updated the references

R2 v1 2026-06-24T09:02:05.940Z