Reflected mean-field backward stochastic differential equations with time delayed generators

Hui Min; Chunzhen Wei

doi:10.1109/ccdc52312.2021.9601997

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Reflected mean-field backward stochastic differential equations with time delayed generators

Hui Min Chunzhen Wei

Year: 2021 Pages: 5530-5536

DOI: 10.1109/ccdc52312.2021.9601997

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Abstract

In this paper, we focus on a new type of backward stochastic differential equations called reflected mean-field backward stochastic differential equations with time delayed generators (reflected MFBSDEs with time delayed generators, in short). Under some conditions, we establish the existence and uniqueness of the solution.

Keywords:

Stochastic differential equation Uniqueness Stochastic partial differential equation Mathematics Differential equation Focus (optics) Applied mathematics Mathematical analysis Physics

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Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Fluid Dynamics and Turbulent Flows

Physical Sciences → Engineering → Computational Mechanics

Reflected mean-field backward stochastic differential equations with time delayed generators

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