Work

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

Year: 2024

Type: article

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.

Source: Stochastics

DOI: 10.1080/17442508.2024.2387066

Author: Peng Luo

Institution: Shanghai Jiao Tong University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: National Natural Science Foundation of China

Awards: G5785594028, G7842639199