Reflected Backward Stochastic Differential Equation with Rank-based Data
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 and position , 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