Backward stochastic differential equations with rank-based data

被引：0

作者：

Zhen-qing Chen

Xinwei Feng

机构：

[1] University of Washington,Department of Mathematics

[2] Shandong University,School of Mathematics

[3] The Chinese University of Hong Kong,Department of Statistics

来源：

Science China Mathematics | 2018年 / 61卷

关键词：

backward stochastic differential equations; ranked particles; named particles; reflected Brownian motion; partial differential equations; viscosity solution; 60H10; 60H30; 35K55;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

In this paper, we investigate Markovian backward stochastic differential equations (BSDEs) with the generator and the terminal value that depend on the solutions of stochastic differential equations with rankbased drift coefficients. We study regularity properties of the solutions of this kind of BSDEs and establish their connection with semi-linear backward parabolic partial differential equations in simplex with Neumann boundary condition. As an application, we study the European option pricing problem with capital size based stock prices.

引用

页码：27 / 56

页数：29

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