Saved in:
| Main Authors: | , |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2411.17104 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866915035394080768 |
|---|---|
| author | Feng, Xinwei Wang, Lu |
| author_facet | Feng, Xinwei Wang, Lu |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2411_17104 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Two-barriers-reflected BSDE with Rank-based Data Feng, Xinwei Wang, Lu Probability 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. |
| title | Two-barriers-reflected BSDE with Rank-based Data |
| topic | Probability |
| url | https://arxiv.org/abs/2411.17104 |