Mean Reflected Stochastic Differential Equations With Jumps - Université Savoie Mont Blanc
Article Dans Une Revue Advances in Applied Probability Année : 2020

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.
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Dates et versions

hal-01742164 , version 1 (27-03-2018)
hal-01742164 , version 2 (19-12-2019)

Identifiants

  • HAL Id : hal-01742164 , version 2

Citer

Philippe Briand, Abir Ghannoum, Céline Labart. Mean Reflected Stochastic Differential Equations With Jumps. Advances in Applied Probability, 2020, 52 (2), pp.523-562. ⟨hal-01742164v2⟩
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