Two-barriers-reflected BSDE with rank-based data

DOI10.1016/J.SPL.2024.110343MaRDI QIDQ7025583zbMATH OpenFDO

Authors Xinwei Feng, Lu Wang

Publication date 19 February 2025

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2024.110343

zbMATH Keywords

American game optionbackward stochastic differential equationspartial differential equationsreflecting barriersviscosity solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

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