Mean Reflected Stochastic Differential Equations With Jumps
Résumé
This paper is devoted to the study of reflected Stochastic Differential Equationswith jumps when the constraint is not on the paths of the solution but acts on the law of thesolution. This type of reflected equations have been introduced recently by Briand, Elie and Hu[BEH18] in the context of BSDEs, when no jumps occur. In [BCdRGL16], the authors study anumerical scheme based on particle systems to approximate these reflected SDEs. In this paper,we prove existence and uniqueness of solutions to this kind of reflected SDEs with jumps andwe generalize the results obtained in [BCdRGL16] to this context.
Domaines
Probabilités [math.PR]Origine | Fichiers produits par l'(les) auteur(s) |
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