Multi-dimensional BSDEs with mean reflection
Author:
Affiliation:
1. Department of Mathematical Sciences, Durham University, UK
2. Corresponding author. Zhongtai Securities Institute for Financial Studies and School of Mathematics, Shandong University, China
Publisher
Institute of Mathematical Statistics
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference41 articles.
1. Bénézet, C., Chassagneux, J.-F. and Richou, A.: Switching problems with controlled randomisation and associated obliquely reflected BSDEs. Stochastic Processes and their Applications 144 (2022), 23–71.
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3. Bramson, M., Burdzy, K. and Kendall, W.: Shy couplings, CAT(0)spaces, and the Lion and Man. The Annals of Probability 41 (2013), 744–784.
4. Briand, P., Cardaliaguet, P., Chaudru de Raynal, P.-É. and Hu, Y.: Forward and backward stochastic differential equations with normal constraints in law. Stochastic Processes and their Applications 130 (2020), 7021–7097.
5. Briand, P., Chaudru de Raynal, P.-É., Guillin, A. and Labart, C.: Particles systems and numerical schemes for mean reflected stochastic differential equations. The Annals of Applied Probability 30 (2020), 1884–1909.
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