Two-barriers-reflected BSDE with rank-based data

IF 0.9 4区数学 Q3 STATISTICS & PROBABILITY

Statistics & Probability Letters Pub Date : 2024-12-28 DOI:10.1016/j.spl.2024.110343

Xinwei Feng, Lu Wang

引用次数: 0

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.

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来源期刊

Statistics & Probability Letters 数学-统计学与概率论

CiteScore

1.60

自引率

0.00%

发文量

173

审稿时长

6 months

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