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.
Authors
- Falei Wang (ORCID: https://orcid.org/0000-0002-7011-0438)
- Yiqing Lin
- Hui Zhao
Institutions
- Shandong University (CN)
- Shanghai Jiao Tong University (CN)
- China Institute of Finance and Capital Markets (CN)
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
Funders
- National Natural Science Foundation of China
- Tian Yuan Mathematical Foundation