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

DOI10.1016/j.spl.2022.109718zbMath1499.60181OpenAlexW4306318720MaRDI QIDQ2105392

Weidong Zhao, Fengfeng Cui

Publication date: 8 December 2022

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2022.109718

zbMATH Keywords

non-Lipschitz coefficientsmean reflected BSDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Unnamed Item
• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Reflected BSDE with a constraint and its applications in an incomplete market
• Backward stochastic differential equations with reflection and Dynkin games
• Mean-field backward stochastic differential equations: A limit approach
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Finite and infinite time interval BSDEs with non-Lipschitz coefficients
• Backward stochastic differential equations with non-Lipschitz coefficients
• Backward stochastic differential equations with constraints on the gains-process
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Backward stochastic differential equations with continuous coefficient
• BSDEs with mean reflection
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Quadratic BSDEs with mean reflection
• Reflected mean-field backward stochastic differential equations. Approximation and associated nonlinear PDEs
• Solvability of a class of mean-field BSDEs with quadratic growth
• Backward stochastic differential equations with mean reflection and two constraints
• Anticipated backward stochastic differential equations with quadratic growth
• Forward and backward stochastic differential equations with normal constraints in law
• Transportation cost inequality for backward stochastic differential equations with mean reflection
• Mean-field stochastic differential equations and associated PDEs
• BSDE with quadratic growth and unbounded terminal value
• Particles systems and numerical schemes for mean reflected stochastic differential equations
• Pricing of American Contingent Claims with Jump Stock Price and Constrained Portfolios
• Approximation of BSDE with non Lipschitz coefficient

This page was built for publication: Well-posedness of mean reflected BSDEs with non-Lipschitz coefficients