Stochastic Differential Equations Driven by G-Brownian Motion with Mean Reflections
Probability
2025-03-21 v3
Abstract
In this paper, we study the mean reflected stochastic differential equations driven by G-Brownian motion, where the constraint depends on the expectation of the solution rather than on its paths. Well-posedness is achieved by first investigating the Skorokhod problem with mean reflection under G-expectation. Two approaches to constructing the solution are introduced, both offering insights into desired properties and aiding in the application of the contraction mapping method.
Keywords
Cite
@article{arxiv.2306.08931,
title = {Stochastic Differential Equations Driven by G-Brownian Motion with Mean Reflections},
author = {Hanwu Li and Ning Ning},
journal= {arXiv preprint arXiv:2306.08931},
year = {2025}
}