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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2024
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2407.17735 |
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| _version_ | 1866911966571790336 |
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| author | Lin, Yiqing Wang, Falei Zhao, Hui |
| author_facet | Lin, Yiqing Wang, Falei Zhao, Hui |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_17735 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Mean-reflected $G$-BSDEs with multi-variate constraints Lin, Yiqing Wang, Falei Zhao, Hui Probability 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. |
| title | Mean-reflected $G$-BSDEs with multi-variate constraints |
| topic | Probability |
| url | https://arxiv.org/abs/2407.17735 |