Mean-reflected $G$-BSDEs with multi-variate constraints

Yiqing Lin; Falei Wang; Hui Zhao

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arXiv · 2407.17735

Mean-reflected $G$-BSDEs with multi-variate constraints

Yiqing Lin·Falei Wang·Hui Zhao

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Abstract

In this paper, we study the multi-dimensional reflected backward stochastic differential equation driven by $G$-Brownian motion ($G$-BSDE) with a multi-variate constraint on the $G$-expectation of its solution. The generators are diagonally dependent on $Z$ and on all $Y$-components. We obtain the existence and uniqueness result via a fixed-point argumentation.

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BibTeX RIS

Yiqing Lin, Falei Wang, Hui Zhao. 2024-07-25. Mean-reflected $G$-BSDEs with multi-variate constraints. https://arxiv.org/abs/2407.17735

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