Mean-reflected $G$-BSDEs with multi-variate constraints
Probability
2024-07-26 v1
Abstract
In this paper, we study the multi-dimensional reflected backward stochastic differential equation driven by -Brownian motion (-BSDE) with a multi-variate constraint on the -expectation of its solution. The generators are diagonally dependent on and on all -components. We obtain the existence and uniqueness result via a fixed-point argumentation.
Keywords
Cite
@article{arxiv.2407.17735,
title = {Mean-reflected $G$-BSDEs with multi-variate constraints},
author = {Yiqing Lin and Falei Wang and Hui Zhao},
journal= {arXiv preprint arXiv:2407.17735},
year = {2024}
}