# PARTICLES SYSTEMS AND NUMERICAL SCHEMES FOR MEAN REFLECTED STOCHASTIC DIFFERENTIAL EQUATIONS

@article{Briand2016PARTICLESSA, title={PARTICLES SYSTEMS AND NUMERICAL SCHEMES FOR MEAN REFLECTED STOCHASTIC DIFFERENTIAL EQUATIONS}, author={P. Briand and Paul-'Eric Chaudru de Raynal and A. Guillin and C'eline Labart}, journal={arXiv: Probability}, year={2016} }

This paper is devoted to the study of reflected Stochastic Differential Equations when the constraint is not on the paths of the solution but acts on the law of the solution. These reflected equations have been introduced recently by Briand, Elie and Hu [BEH16] in the context of risk measures. Our main objective is to provide an approximation of solutions to these reflected SDEs with the help of interacting particles systems. This approximation allows to design a numerical scheme for this kind… CONTINUE READING

11 Citations

Forward and Backward Stochastic Differential Equations with normal constraint in law

- Mathematics
- 2019

4

Mean-field backward stochastic differential equations with mean reflection and nonlinear resistance.

- Mathematics
- 2019

Large deviation principle for the mean reflected stochastic differential equation with jumps

- Mathematics, Medicine
- 2018

1

#### References

##### Publications referenced by this paper.

SHOWING 1-10 OF 15 REFERENCES