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.
Authors
- Peng Luo (ORCID: https://orcid.org/0000-0001-9137-1875)
Institutions
- Shanghai Jiao Tong University (CN)
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
Funders
- National Natural Science Foundation of China