Mean-Field Doubly Reflected Forward-Backward SDEs with Optional Barriers and L^p-Data

2026/08/05 by Erhan Bayraktar, Maurycy Rzymowski
Mathematics · #math.PR

paper · pdf

arxiv created 2026/08/05 · arxiv updated 2026/08/06

Abstract

We study mean-field doubly reflected forward-backward stochastic differential equations with two optional barriers satisfying a strong Mokobodzki condition. For L^p-data, p∈(1,2], we prove existence and uniqueness on sufficiently short time horizons when the coefficients may depend on the joint law of (X,Y,Z). Under an additional monotonicity condition and using an exponentially weighted norm, we also obtain a global-in-time result for p=2. The setting is motivated by recursive mean-field Dynkin games and game-option valuation with irregular payoff barriers.

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