Dr Baoyou Qu baoyou.qu@durham.ac.uk
Post Doctoral Research Associate
Multi-dimensional BSDEs with mean reflection
Qu, Baoyou; Wang, Falei
Authors
Falei Wang
Abstract
In this paper, we consider multi-dimensional mean reflected backward stochastic differential equations (BSDEs) with possibly non-convex reflection domains along inward normal direction, which were introduced by Briand, Elie and Hu [6] in the scalar case. We first apply a fixed-point argument to establish the uniqueness and existence result under an additional bounded condition on the driver. Then, with the help of a priori estimates, we develop a successive approximation procedure to remove the additional bounded condition for the general case.
Citation
Qu, B., & Wang, F. (2023). Multi-dimensional BSDEs with mean reflection. Electronic Journal of Probability, 28, 1-26. https://doi.org/10.1214/23-ejp991
| Journal Article Type | Article |
|---|---|
| Acceptance Date | Jul 4, 2023 |
| Online Publication Date | Aug 8, 2023 |
| Publication Date | Aug 8, 2023 |
| Deposit Date | Feb 14, 2024 |
| Publicly Available Date | Feb 14, 2024 |
| Journal | Electronic Journal of Probability |
| Electronic ISSN | 1083-6489 |
| Publisher | Institute of Mathematical Statistics |
| Peer Reviewed | Peer Reviewed |
| Volume | 28 |
| Pages | 1-26 |
| DOI | https://doi.org/10.1214/23-ejp991 |
| Keywords | Statistics, Probability and Uncertainty; Statistics and Probability |
| Public URL | https://durham-repository.worktribe.com/output/2255402 |
Files
Published Journal Article
(295 Kb)
PDF
Licence
http://creativecommons.org/licenses/by/4.0/
Publisher Licence URL
http://creativecommons.org/licenses/by/4.0/
Copyright Statement
Creative Commons Attribution 4.0 International License.