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Particles Systems for mean reflected BSDEs

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  • Briand, Philippe
  • Hibon, Hélène

Abstract

In this paper, we study Reflected Backward Stochastic Differential Equations for which the constraint is not on the paths of the solution but on its law as introduced by Briand, Elie and Hu in Briand et al. (2018). We extend the recent work Briand et al. (2020) of Briand, Chaudru de Raynal, Guillin and Labart on the chaos propagation for mean reflected SDEs to the backward framework. When the driver does not depend on z, we are able to study general reflections for the particles system. We consider linear reflection when the driver depends also on z. In both cases, we get the rate of convergence of the particles system towards the square integrable deterministic flat solution to the mean reflected BSDE.

Suggested Citation

  • Briand, Philippe & Hibon, Hélène, 2021. "Particles Systems for mean reflected BSDEs," Stochastic Processes and their Applications, Elsevier, vol. 131(C), pages 253-275.
    • Handle: RePEc:eee:spapps:v:131:y:2021:i:c:p:253-275
    DOI: 10.1016/j.spa.2020.09.010
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    References listed on IDEAS

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    1. N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71, January.
    2. Philippe Briand & Romuald Elie & Ying Hu, 2018. "BSDEs with mean reflection," Post-Print hal-01318649, HAL.
    3. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    4. Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447.
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    Cited by:

    1. Dai, Yin & Li, Ruinan, 2021. "Transportation cost inequality for backward stochastic differential equations with mean reflection," Statistics & Probability Letters, Elsevier, vol. 177(C).
    2. Cui, Fengfeng & Zhao, Weidong, 2023. "Well-posedness of mean reflected BSDEs with non-Lipschitz coefficients," Statistics & Probability Letters, Elsevier, vol. 193(C).
    3. He, Wei, 2024. "Multi-dimensional mean-reflected BSDEs driven by G-Brownian motion with time-varying non-Lipschitz coefficients," Statistics & Probability Letters, Elsevier, vol. 206(C).

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