Multi-dimensional mean-reflected BSDEs driven by G-Brownian motion with time-varying non-Lipschitz coefficients

Wei He

Statistics & Probability Letters, 2024, vol. 206, issue C

Abstract: In this paper, we focus on the well-posedness problem of the multi-dimensional mean-reflected BSDEs driven by G-Brownian motion (G-BSDEs) with time-varying non-Lipschitz coefficients. The existence and uniqueness of the solution are gotten by systematically using nonlinear stochastic analysis and Picard iteration argument only for the Y component. Moreover, the backward Bihari’s inequality and some existing results of time-varying Lipschitz G-BSDEs play a key role in the proof.

Keywords: G-expectation; Multi-dimensional BSDEs; Mean reflected G-BSDEs; Time varying non-Lipschitz coefficients (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2023.109977

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