Mean-reflected G-BSDEs with multi-variate constraints

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.

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Publication Details

Journal
Stochastics and Dynamics
Published
2026-04-06
DOI
https://doi.org/10.1142/s0219493726500127
Primary Topic
Stochastic processes and financial applications
Type
article
Field-Weighted Citation Impact
0.00

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article

Mean-reflected G-BSDEs with multi-variate constraints

Falei Wang, Yiqing Lin, Hui Zhao
Stochastics and Dynamics
Stochastic processes and financial applications
article

Mean-reflected G-BSDEs with multi-variate constraints

Falei Wang, Yiqing Lin, Hui Zhao
article en

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.

Stochastics and Dynamics
Shandong University (CN), Shanghai Jiao Tong University (CN), China Institute of Finance and Capital Markets (CN)
National Natural Science Foundation of China, Tian Yuan Mathematical Foundation
Reduced inequalities
Openalex Percentile: Top 28%
Stochastic processes and financial applications
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