Particles Systems for Mean Reflected BSDEs

Philippe Briand; Hélène Hibon

doi:10.1016/j.spa.2020.09.010

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arXiv · 1712.07385

Particles Systems for Mean Reflected BSDEs

Philippe Briand·Hélène Hibon

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Abstract

In this paper, we deal with Reflected Backward Stochastic Differential Equations for which the constraint is not on the paths of the solution but on its law as introduced by Briand, Elie and Hu in [3]. We extend the recent work [2] of Briand, Chaudru de Raynal, Guillin and Labart on the chaos propagation for mean reflected SDEs to the backward framework. When the driver does not depend on z, we are able to treat general reflexions for the particles system. We consider linear reflexion when the driver depends also on z. In both cases, we get the rate of convergence of the particles system towards the square integrable deterministic flat solution to the mean reflected BSDE.

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BibTeX RIS

Philippe Briand, Hélène Hibon. 2017-12-20. Particles Systems for Mean Reflected BSDEs. https://doi.org/10.1016/j.spa.2020.09.010

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