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arXiv · 2211.01187

General Mean Reflected BSDEs

Ying Hu·Remi Moreau·Falei Wang
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Abstract

The present paper is devoted to the study of backward stochastic differential equations with mean reflection formulated by Briand et al. [7]. We investigate the solvability of a generalized mean reflected BSDE, whose driver also depends on the distribution of the solution term $Y$. Using a fixed-point argument, BMO martingale theory and the $\theta$-method, we establish the existence and uniqueness result for such BSDEs in several typical situations, including the case where the driver is quadratic with bounded or unbounded terminal condition.

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Ying Hu, Remi Moreau, Falei Wang. 2022-11-02. General Mean Reflected BSDEs. https://arxiv.org/abs/2211.01187

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