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

被引：1
作者：
Cui, Fengfeng [1 ]
Zhao, Weidong [1 ]
机构：
[1] Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China
来源：
STATISTICS & PROBABILITY LETTERS | 2023年 / 193卷
基金：
中国国家自然科学基金;
关键词：
Mean reflected BSDEs; Non-Lipschitz coefficients; STOCHASTIC DIFFERENTIAL-EQUATIONS; PARTICLES SYSTEMS; QUADRATIC BSDES; CONSTRAINTS;
D O I：
10.1016/j.spl.2022.109718
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.(c) 2022 Elsevier B.V. All rights reserved.
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页数：8
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