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

(整期优先)网络出版时间:2013-01-11
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Inthispaperwestudytheone-dimensionalreflectedbackwardstochasticdifferentialequationswhicharedrivenbyBrownianmotionaswellasamutuallyindependentmartingaleappearinginadefaultablesetting.Usingapenalizationmethod,weprovetheexistenceanduniquenessofthesolutionstotheseequations.Asanapplication,weshowthatunderproperassumptionsthesolutionofthereflectedequationisthevalueoftherelatedmixedoptimalstopping-controlproblem.