Particles Systems for mean reflected BSDEs

Author:

Briand PhilippeORCID,Hibon Hélène

Funder

Agence Nationale de la Recherche

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference13 articles.

1. Coherent measures of risk;Artzner;Math. Finance,1999

2. BSDES with mean reflection;Briand;Ann. Appl. Probab.,2018

3. Particles systems and numerical schemes for mean reflected stochastic differential equations;Briand;Ann. Appl. Probab.,2020

4. Mean-field backward stochastic differential equations: a limit approach;Buckdahn;Ann. Probab.,2009

5. Reflected solutions of backward SDE’s, and related obstacle problems for PDE’s;El Karoui;Ann. Probab.,1997

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1. Multi-dimensional mean-reflected BSDEs driven by G-Brownian motion with time-varying non-Lipschitz coefficients;Statistics & Probability Letters;2024-03

2. General Mean Reflected Backward Stochastic Differential Equations;Journal of Theoretical Probability;2023-09-25

3. Well-posedness of mean reflected BSDEs with non-Lipschitz coefficients;Statistics & Probability Letters;2023-02

4. Multi-dimensional BSDEs with mean reflection;Electronic Journal of Probability;2023-01-01

5. Reflected BSDEs in non-convex domains;Probability Theory and Related Fields;2022-03-23

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