English

$G$-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 GG-Brownian motions (GG-BSDEs), where GG-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 GG-BSDEs involving Lipschitz and quadratic generators under bounded and unbounded terminal conditions. Also we utilize fixed-point argumentations and θ\theta-methods while solving these equations. Finally, we extend the results to multi-dimensional doubly mean-reflected GG-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}
}
R2 v1 2026-06-28T17:53:05.082Z