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Propagation of chaos for mean-field reflected BSDEs with jumps

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  • Lin, Yiqing
  • Xu, Kun

Abstract

In this paper, we study a class of mean-field reflected backward stochastic differential equations (MF-RBSDEs) driven by a marked point process and also analyze MF-RBSDEs driven by a Poisson process. Based on a g-expectation representation lemma, we establish the existence and uniqueness of the particle system of MF-RBSDEs driven by a marked point process under Lipschitz generator conditions and obtain a convergence result of this system. In the Poisson setting, we obtain furthermore the convergence rate of the corresponding particle system toward the solution to the MF-RBSDEs driven by a Poisson process under bounded terminals and bounded obstacle conditions.

Suggested Citation

  • Lin, Yiqing & Xu, Kun, 2025. "Propagation of chaos for mean-field reflected BSDEs with jumps," Statistics & Probability Letters, Elsevier, vol. 221(C).
    • Handle: RePEc:eee:stapro:v:221:y:2025:i:c:s0167715225000276
    DOI: 10.1016/j.spl.2025.110382
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