$G$-BSDEs with mean constraints in time-dependent intervals
Probability
2024-07-26 v1
Abstract
In this paper, we study a collection of mean-reflected backward stochastic differential equations driven by -Brownian motions (-BSDEs), where -expectations are constrained in some time-dependent intervals. To establish well-posedness results, we firstly construct a backward Skorokhod problem with sublinear expectation, and then apply that in the study of doubly mean-reflected -BSDEs involving Lipschitz and quadratic generators under bounded and unbounded terminal conditions. Also we utilize fixed-point argumentations and -methods while solving these equations. Finally, we extend the results to multi-dimensional doubly mean-reflected -BSDEs with diagonal generators.
Keywords
Cite
@article{arxiv.2407.17768,
title = {$G$-BSDEs with mean constraints in time-dependent intervals},
author = {Zihao Gu and Hui Zhao},
journal= {arXiv preprint arXiv:2407.17768},
year = {2024}
}