This was part of Applications to Financial Engineering

A propagation of chaos result for a class of  mean-field reflected BSDEs with jumps

Roxana Dumitrescu, King’s College

Thursday, December 9, 2021

Abstract:  In this article, we establish the propagation of chaos property for weakly interacting nonlinear Snell envelopes which converge to a class of mean-field reflected backward stochastic differential equations (BSDEs) with jumps, where the mean-field interaction in terms of the distribution of the $Y$-component of the solution enters in both the driver and the lower obstacle. Under mild Lipschitz and integrability conditions on the coefficients, we prove existence and uniqueness of the solution to both the mean-field reflected BSDEs with jumps and the corresponding system of weakly interacting particles and  provide the propagation of chaos result for the whole solution (joint work with B. Djehiche (KTH Stockholm) and J. Zeng (King's College London)).