Mean-field backward stochastic differential equations with mean reflection and nonlinear resistance

Peng Luo

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arXiv · 1911.13165

Mean-field backward stochastic differential equations with mean reflection and nonlinear resistance

Peng Luo

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Abstract

The present paper is devoted to the study of the well-posedness of mean field BSDEs with mean reflection and nonlinear resistance. By the contraction mapping argument, we first prove that the mean-field BSDE with mean reflection and nonlinear resistance admits a unique deterministic flat local solution on a small time interval. Moreover, we build the global solution by introducing a two-step approach, which is a combination of stitching method and fixed point method. We further provide an application to the super-hedging problem with risk constraint.

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Peng Luo. 2019-11-19. Mean-field backward stochastic differential equations with mean reflection and nonlinear resistance. https://arxiv.org/abs/1911.13165

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