Two-barriers-reflected BSDE with Rank-based Data
Probability
2024-11-27 v1
Abstract
We investigate two-barriers-reflected backward stochastic differential equations with data from rank-based stochastic differential equation. More specifically, we focus on the solution of backward stochastic differential equations restricted to two prescribed upper-boundary and lower-boundary processes. We rigorously show that this solution gives a probabilistic expression to the viscosity solution of some obstacle problems for the corresponding parabolic partial differential equations. As an application, the pricing problem of an American game option is studied.
Keywords
Cite
@article{arxiv.2411.17104,
title = {Two-barriers-reflected BSDE with Rank-based Data},
author = {Xinwei Feng and Lu Wang},
journal= {arXiv preprint arXiv:2411.17104},
year = {2024}
}