Backward Stochastic Differential Equations with Double Mean Reflections
In this paper, we study the backward stochastic differential equation (BSDE) with two nonlinear mean reflections, which means that the constraints are imposed on the distribution of the solution but not on its paths. Based on the backward Skorokhod problem with nonlinear constraints, we obtain the e...
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| creator | Li, Hanwu |
| description | In this paper, we study the backward stochastic differential equation (BSDE)
with two nonlinear mean reflections, which means that the constraints are
imposed on the distribution of the solution but not on its paths. Based on the
backward Skorokhod problem with nonlinear constraints, we obtain the existence
and uniqueness result by constructing a contraction mapping. When the
constraints are linear, the solution can be approximated by a family of
penalized mean-field BSDEs. |
| doi_str_mv | 10.48550/arxiv.2307.05947 |
| format | Article |
| fullrecord | <record><control><sourceid>arxiv_GOX</sourceid><recordid>TN_cdi_arxiv_primary_2307_05947</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>2307_05947</sourcerecordid><originalsourceid>FETCH-LOGICAL-a677-3214bb391a3c03bb8fe4bcc68ce45a45daf14e40eba6409964d968119d317e453</originalsourceid><addsrcrecordid>eNotz8FOwzAQBFBfOKDCB3DCP5Bg12s7PkJbClIREu09Wjtr1WpIIHEp_D0QOM1hRiM9xq6kKKHSWtzg8Jk-yrkSthTagT1n6zsMhxMODd_mPuxxzCnwZYqRBupywpav3o-YU9-N_JTyni_7o2-JPxF2_IViS2EqL9hZxHaky_-csd39ard4KDbP68fF7aZAY22h5hK8V06iCkJ5X0UCH4KpAoFG0A1GCQSCPBoQzhlonKmkdI2S9meiZuz673aS1G9DesXhq_4V1ZNIfQOEnUaE</addsrcrecordid><sourcetype>Open Access Repository</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype></control><display><type>article</type><title>Backward Stochastic Differential Equations with Double Mean Reflections</title><source>arXiv.org</source><creator>Li, Hanwu</creator><creatorcontrib>Li, Hanwu</creatorcontrib><description>In this paper, we study the backward stochastic differential equation (BSDE)
with two nonlinear mean reflections, which means that the constraints are
imposed on the distribution of the solution but not on its paths. Based on the
backward Skorokhod problem with nonlinear constraints, we obtain the existence
and uniqueness result by constructing a contraction mapping. When the
constraints are linear, the solution can be approximated by a family of
penalized mean-field BSDEs.</description><identifier>DOI: 10.48550/arxiv.2307.05947</identifier><language>eng</language><subject>Mathematics - Probability</subject><creationdate>2023-07</creationdate><rights>http://arxiv.org/licenses/nonexclusive-distrib/1.0</rights><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>228,230,780,885</link.rule.ids><linktorsrc>$$Uhttps://arxiv.org/abs/2307.05947$$EView_record_in_Cornell_University$$FView_record_in_$$GCornell_University$$Hfree_for_read</linktorsrc><backlink>$$Uhttps://doi.org/10.48550/arXiv.2307.05947$$DView paper in arXiv$$Hfree_for_read</backlink></links><search><creatorcontrib>Li, Hanwu</creatorcontrib><title>Backward Stochastic Differential Equations with Double Mean Reflections</title><description>In this paper, we study the backward stochastic differential equation (BSDE)
with two nonlinear mean reflections, which means that the constraints are
imposed on the distribution of the solution but not on its paths. Based on the
backward Skorokhod problem with nonlinear constraints, we obtain the existence
and uniqueness result by constructing a contraction mapping. When the
constraints are linear, the solution can be approximated by a family of
penalized mean-field BSDEs.</description><subject>Mathematics - Probability</subject><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2023</creationdate><recordtype>article</recordtype><sourceid>GOX</sourceid><recordid>eNotz8FOwzAQBFBfOKDCB3DCP5Bg12s7PkJbClIREu09Wjtr1WpIIHEp_D0QOM1hRiM9xq6kKKHSWtzg8Jk-yrkSthTagT1n6zsMhxMODd_mPuxxzCnwZYqRBupywpav3o-YU9-N_JTyni_7o2-JPxF2_IViS2EqL9hZxHaky_-csd39ard4KDbP68fF7aZAY22h5hK8V06iCkJ5X0UCH4KpAoFG0A1GCQSCPBoQzhlonKmkdI2S9meiZuz673aS1G9DesXhq_4V1ZNIfQOEnUaE</recordid><startdate>20230712</startdate><enddate>20230712</enddate><creator>Li, Hanwu</creator><scope>AKZ</scope><scope>GOX</scope></search><sort><creationdate>20230712</creationdate><title>Backward Stochastic Differential Equations with Double Mean Reflections</title><author>Li, Hanwu</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-a677-3214bb391a3c03bb8fe4bcc68ce45a45daf14e40eba6409964d968119d317e453</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2023</creationdate><topic>Mathematics - Probability</topic><toplevel>online_resources</toplevel><creatorcontrib>Li, Hanwu</creatorcontrib><collection>arXiv Mathematics</collection><collection>arXiv.org</collection></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext_linktorsrc</fulltext></delivery><addata><au>Li, Hanwu</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Backward Stochastic Differential Equations with Double Mean Reflections</atitle><date>2023-07-12</date><risdate>2023</risdate><abstract>In this paper, we study the backward stochastic differential equation (BSDE)
with two nonlinear mean reflections, which means that the constraints are
imposed on the distribution of the solution but not on its paths. Based on the
backward Skorokhod problem with nonlinear constraints, we obtain the existence
and uniqueness result by constructing a contraction mapping. When the
constraints are linear, the solution can be approximated by a family of
penalized mean-field BSDEs.</abstract><doi>10.48550/arxiv.2307.05947</doi><oa>free_for_read</oa></addata></record> |
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| subjects | Mathematics - Probability |
| title | Backward Stochastic Differential Equations with Double Mean Reflections |
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