arXiv subjects
Publications and source records attributed to Yinggu Chen.
We study mean-field doubly reflected BSDEs. First, using the fixed point method, we show existence and uniqueness of the solution when the data which define the BSDE are $p$-integrable with $p=1$ or $p>1$. The two cases are treated separately. Next by penalization we show also the existence of the solution. The two methods do not cover the same set of assumptions.
We study a general class of fully coupled backward-forward stochastic differential equations of mean-field type (MF-BFSDE). We derive existence and uniqueness results for such a system under weak monotonicity assumptions and without the non-degeneracy condition on the forward equation. This is achieved by suggesting an implicit approximation scheme that is shown to converge to the solution of the system of MF-BFSDE. We apply these results to derive an explicit form of open-loop Nash equilibrium strategies for nonzero sum mean-field linear-quadratic stochastic differential games with random coefficients. These strategies are valid for any time horizon of the game.