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Well-posedness of mean reflected BSDEs with non-Lipschitz coefficients

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  • Cui, Fengfeng
  • Zhao, Weidong

Abstract

This paper aims at solving a new type of BSDE with mean reflection under weaker assumptions on the coefficients. We establish the well-posedness of mean reflected BSDEs whenever the generator is non-Lipschitz in the y argument.

Suggested Citation

  • Cui, Fengfeng & Zhao, Weidong, 2023. "Well-posedness of mean reflected BSDEs with non-Lipschitz coefficients," Statistics & Probability Letters, Elsevier, vol. 193(C).
    • Handle: RePEc:eee:stapro:v:193:y:2023:i:c:s0167715222002310
    DOI: 10.1016/j.spl.2022.109718
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    References listed on IDEAS

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