Abstract
This paper aims to solve a super-hedging problem along with insurance re-payment under running risk management constraints. The initial endowment for the super-hedging problem is characterized by a class of mean reflected backward stochastic differential equation driven by a marked point process (MPP) and a Brownian motion. By Lipschitz assumptions on the generators and proper integrability on the terminal value, we give the well-posedness of this kind of BSDEs by combining a representation theorem with the fixed point argument.
Funder
National Natural Science Foundation of China
Tian Yuan Mathematical Foundation
Cited by
1 articles.
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1. Reflections on BSDEs;Electronic Journal of Probability;2024-01-01