标题：Backward stochastic differential equations with rank-based data
作者：Chen Zhenqing;Feng Xinwei
作者机构：[Chen Zhenqing] Department of Mathematics,University of Washington, Seattle, WA98195, USA.;[Feng Xinwei] School of Mathematics,Shandong University;;De 更多[Chen Zhenqing] Department of Mathematics,University of Washington, Seattle, WA98195, USA.;[Feng Xinwei] School of Mathematics,Shandong University;;Department of Statistics,The Chinese University of Hong Kong, ;;, Jinan;;, ;;Hong Kong 250100;;.;[]WA98195.;[;;] ;;, ;;, ;; 250100;;. 收起
通讯作者：Feng, X(fengxw121@163.com)
通讯作者地址：[Feng, XW]Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China;[Feng, XW]Chinese Univ Hong Kong, Dept Stat, Hong Hom, Hong Kong, Peoples R 更多[Feng, XW]Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China;[Feng, XW]Chinese Univ Hong Kong, Dept Stat, Hong Hom, Hong Kong, Peoples R China. 收起
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.
