English

Mean-field reflected backward stochastic differential equations

Probability 2019-11-15 v1

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 YY-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 (Y,\E[Y])(Y,\E[Y]) and discuss the more general dependence on the distribution of YY. 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}
}
R2 v1 2026-06-23T12:15:46.654Z