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.

引用

页数：8

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