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

Authors :
Lin, Yiqing
Wang, Falei
Zhao, Hui
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

Subjects :
Mathematics - Probability

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.2407.17735
Document Type :
Working Paper