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Mean-reflected $G$-BSDEs with multi-variate constraints
- Publication Year :
- 2024
-
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.
- Subjects :
- Mathematics - Probability
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.2407.17735
- Document Type :
- Working Paper