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Backward Stochastic Differential Equations with Double Mean Reflections

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  • Li, Hanwu

    (Center for Mathematical Economics, Bielefeld University)

Abstract

: In this paper, we study the backward stochastic differential equation (BSDE) with two non- linear mean reflections, which means that the constraints are imposed on the distribution of the solution but not on its paths. Based on the backward Skorokhod problem with nonlinear constraints, we obtain the existence and uniqueness result by constructing a contraction map- ping. When the constraints are linear, the solution can be approximated by a family of penalized mean-field BSDEs.

Suggested Citation

  • Li, Hanwu, 2025. "Backward Stochastic Differential Equations with Double Mean Reflections," Center for Mathematical Economics Working Papers 736, Center for Mathematical Economics, Bielefeld University.
    • Handle: RePEc:bie:wpaper:736
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    File URL: https://pub.uni-bielefeld.de/download/3006170/3006171
    File Function: First Version, 2023
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