Mean-field backward stochastic differential equations with mean reflection and nonlinear resistance

The present paper is devoted to the study of the well-posedness of mean field BSDEs with mean reflection and nonlinear resistance. By the contraction mapping argument, we first prove that the mean-field BSDE with mean reflection and nonlinear resistance admits a unique deterministic flat local solution on a small time interval. Moreover, we build the global solution by introducing a two-step approach, which is a combination of stitching method and fixed point method. We further provide an application to the super-hedging problem with risk constraint.

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Publication Details

Journal
Stochastics
Published
2024-08-12
DOI
https://doi.org/10.1080/17442508.2024.2387066
Citations
1
Primary Topic
Stochastic processes and financial applications
Type
article
Field-Weighted Citation Impact
0.54

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article

Mean-field backward stochastic differential equations with mean reflection and nonlinear resistance

Peng Luo
1 citations
Stochastics
Stochastic processes and financial applications
0.54
article

Mean-field backward stochastic differential equations with mean reflection and nonlinear resistance

Peng Luo
article en
1 citations

Abstract

The present paper is devoted to the study of the well-posedness of mean field BSDEs with mean reflection and nonlinear resistance. By the contraction mapping argument, we first prove that the mean-field BSDE with mean reflection and nonlinear resistance admits a unique deterministic flat local solution on a small time interval. Moreover, we build the global solution by introducing a two-step approach, which is a combination of stitching method and fixed point method. We further provide an application to the super-hedging problem with risk constraint.

StochasticsVol. 96(8)
Shanghai Jiao Tong University (CN)
National Natural Science Foundation of China
Openalex Percentile: Top 39%
Stochastic processes and financial applications
0.54
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