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

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  • He, Wei

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.

Suggested Citation

  • He, Wei, 2024. "Multi-dimensional mean-reflected BSDEs driven by G-Brownian motion with time-varying non-Lipschitz coefficients," Statistics & Probability Letters, Elsevier, vol. 206(C).
    • Handle: RePEc:eee:stapro:v:206:y:2024:i:c:s0167715223002018
    DOI: 10.1016/j.spl.2023.109977
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    References listed on IDEAS

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