{"paper":{"title":"Two-barriers-reflected BSDE with Rank-based Data","license":"http://creativecommons.org/licenses/by/4.0/","headline":"","cross_cats":[],"primary_cat":"math.PR","authors_text":"Lu Wang, Xinwei Feng","submitted_at":"2024-11-26T04:42:20Z","abstract_excerpt":"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."},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2411.17104","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2411.17104/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}