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

被引：0
|
作者：
He, Wei [1 ]
机构：
[1] Shandong Univ, Res Ctr Math & Interdisciplinary Sci, Jinan, Peoples R China
来源：
STATISTICS & PROBABILITY LETTERS | 2024年 / 206卷
基金：
中国国家自然科学基金;
关键词：
G-expectation; Multi-dimensional BSDEs; Time varying non-Lipschitz coefficients; Mean reflected G-BSDEs; STOCHASTIC DIFFERENTIAL-EQUATIONS; REPRESENTATION THEOREM; G-EXPECTATION; VOLATILITY; CALCULUS;
D O I：
10.1016/j.spl.2023.109977
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
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