BSDE with Jumps When Mean Reflection Is Nonlinear
In this paper, we investigate a reflected backward stochastic differential equation (RBSDE) with jumps, focusing on cases where the mean reflection is nonlinear. Unlike traditional RBSDEs, this particular type of RBSDE imposes a constraint defined by the mean of a loss function that does not follow...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2024-01-01
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| Series: | International Journal of Mathematics and Mathematical Sciences |
| Online Access: | http://dx.doi.org/10.1155/2024/9963889 |
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| Summary: | In this paper, we investigate a reflected backward stochastic differential equation (RBSDE) with jumps, focusing on cases where the mean reflection is nonlinear. Unlike traditional RBSDEs, this particular type of RBSDE imposes a constraint defined by the mean of a loss function that does not follow the continuous condition. We start by deriving an a priori estimate of the solution, followed by establishing the uniqueness and existence of the solution. Theoretical results are illustrated by way of an example of the application of super-hedging to the reinsurance and investment problem under a risk constraint. |
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| ISSN: | 1687-0425 |