Reflected BSDEs with Random Default Time and Related Mixed Optimal Stopping-control Problems-中国期刊网

摘要 Inthispaperwestudytheone-dimensionalreflectedbackwardstochasticdifferentialequationswhicharedrivenbyBrownianmotionaswellasamutuallyindependentmartingaleappearinginadefaultablesetting.Usingapenalizationmethod,weprovetheexistenceanduniquenessofthesolutionstotheseequations.Asanapplication,weshowthatunderproperassumptionsthesolutionofthereflectedequationisthevalueoftherelatedmixedoptimalstopping-controlproblem.

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Reflected BSDEs with Random Default Time and Related Mixed Optimal Stopping-control Problems

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Reflected BSDEs with Random Default Time and Related Mixed Optimal Stopping-control Problems

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