English

Reflected Backward Stochastic Differential Equation with Rank-based Data

Probability 2020-07-14 v1

Abstract

In this paper, we study reflected backward stochastic differential equation (reflected BSDE in abbreviation) with rank-based data in a Markovian framework; that is, the solution to the reflected BSDE is above a prescribed boundary process in a minimal fashion and the generator and terminal value of the reflected BSDE depend on the solution of another stochastic differential equation (SDE in abbreviation) with rank-based drift and diffusion coefficients. We derive regularity properties of the solution to such reflected BSDE, and show that the solution at the initial starting time tt and position xx, which is a deterministic function, is the unique viscosity solution to some obstacle problem (or variational inequality) for the corresponding parabolic partial differential equation.

Keywords

Cite

@article{arxiv.2007.05886,
  title  = {Reflected Backward Stochastic Differential Equation with Rank-based Data},
  author = {Zhen-Qing Chen and Xinwei Feng},
  journal= {arXiv preprint arXiv:2007.05886},
  year   = {2020}
}

Comments

30 pages

R2 v1 2026-06-23T17:02:57.148Z