Work

Mean-reflected G-BSDEs with multi-variate constraints

Year: 2026

Type: article

Abstract: In this paper, we consider the multi-dimensional reflected backward stochastic differential equation driven by [Formula: see text]-Brownian motion ([Formula: see text]-BSDE) with a multi-variate constraint on the [Formula: see text]-expectation of its solution. The generators are diagonally dependent on [Formula: see text] and on all [Formula: see text]-components. We establish the existence and uniqueness results through a fixed-point argument.

Source: Stochastics and Dynamics

DOI: 10.1142/s0219493726500127

Authors: Yiqing Lin, Falei Wang, Hui Zhao

Institutions: Shanghai Jiao Tong University, Shandong University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: National Natural Science Foundation of China, Tian Yuan Mathematical Foundation

Awards: G4470240968, G6737565272, G7842639199