Skip to Main content Skip to Navigation
Journal articles

Particles Systems for Mean Reflected BSDEs

Abstract : In this paper, we deal with Reflected Backward Stochastic Differential Equations for which the constraint is not on the paths of the solution but on its law as introduced by Briand, Elie and Hu in [3]. We extend the recent work [2] of Briand, Chaudru de Raynal, Guillin and Labart on the chaos propagation for mean reflected SDEs to the backward framework. When the driver does not depend on z, we are able to treat general reflexions for the particles system. We consider linear reflexion when the driver depends also on z. In both cases, we get the rate of convergence of the particles system towards the square integrable deterministic flat solution to the mean reflected BSDE.
Document type :
Journal articles
Complete list of metadata

Cited literature [12 references]  Display  Hide  Download

http://hal.univ-smb.fr/hal-01666474
Contributor : Philippe Briand <>
Submitted on : Monday, December 18, 2017 - 2:00:24 PM
Last modification on : Thursday, January 21, 2021 - 4:12:03 PM

Files

BSDEsChaos.pdf
Files produced by the author(s)

Identifiers

Citation

Philippe Briand, Hélène Hibon. Particles Systems for Mean Reflected BSDEs. Stochastic Processes and their Applications, Elsevier, 2021, 131, pp.253-275. ⟨10.1016/j.spa.2020.09.010⟩. ⟨hal-01666474⟩

Share

Metrics

Record views

255

Files downloads

165