Mean-Field Doubly Reflected Backward Stochastic Differential Equations

Yinggu Chen; Said Hamadene; Tingshu Mu

paper

Mean-Field Doubly Reflected Backward Stochastic Differential Equations

arXiv:2007.04598

Abstract

We study mean-field doubly reflected BSDEs. First, using the fixed point method, we show existence and uniqueness of the solution when the data which define the BSDE are $p$ -integrable with $p = 1$ or $p > 1$ . The two cases are treated separately. Next by penalization we show also the existence of the solution. The two methods do not cover the same set of assumptions.

22 pages