Averaging Principle for BSDEs and one Barrier Reflected BSDEs With Non-Liphschitz Coefficients

Abstract

In this paper, the averaging principle for BSDEs and one barrier RBSDEs, with non Lipschitz coefficients, is investigated. An averaged BSDEs for the original BSDEs is proposed, as well as the one barrier RBSDEs, and their solutions are quantitatively compared. Under some appropriate assumptions, the solutions to original systems can be approximated by the solutions to averaged stochastic systems in the sense of mean square.