BSDEs with random default time and their applications to default risk

2009/10/12 by Peng, Shige, Xu, Xiaoming · 1 citation
#60G35 #60G40 #60H10 #60H30 #91A15 #91A60 #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Pricing of Securities (q-fin.PR) #Probability (math.PR)

paper · doi:10.48550/arxiv.0910.2091

Abstract

In this paper we are concerned with backward stochastic differential equations with random default time and their applications to default risk. The equations are driven by Brownian motion as well as a mutually independent martingale appearing in a defaultable setting. We show that these equations have unique solutions and a comparison theorem for their solutions. As an application, we get a saddle-point strategy for the related zero-sum stochastic differential game problem.

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• Doubly Reflected BSDEs with default time under stochastic Lipschitz coefficients and Applications

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