Abstract
In this paper, we study reflected backward stochastic differential equation (reflected BSDE) 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) 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 t and position x, which is a deterministic function, is the unique viscosity solution to some obstacle problem (or variational inequality) for the corresponding parabolic partial differential equation.
Original language | English |
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Pages (from-to) | 1213-1247 |
Number of pages | 35 |
Journal | Journal of Theoretical Probability |
Volume | 34 |
Issue number | 3 |
DOIs | |
Publication status | Published - Sept 2021 |
Externally published | Yes |
Keywords
- Obstacle problem
- Partial differential equation
- Rank-based coefficients
- Reflected backward stochastic differential equation
- Viscosity solution