Generalized BSDE and reflected BSDE with random time horizon (Q6164927): Difference between revisions

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+No-arbitrage up to random horizon for quasi-left-continuous models
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+On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration
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+Thin times and random times' decomposition
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+Enlargement of Filtration with Finance in View
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+Projections, Pseudo-Stopping Times and the Immersion Property
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+CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP
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+Quelques applications de la théorie générale des processus. I
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+Arbitrage‐free XVA
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+A martingale representation theorem and valuation of defaultable securities
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+Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control
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+BSDEs of counterparty risk
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+Counterparty risk and funding: immersion and beyond
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+Invariance times
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+Intensity-based framework and penalty formulation of optimal stopping problems
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+BSDEs with default jump
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+Game Options in an Imperfect Market with Default
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+American options in an imperfect complete market with default
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+\(\mathbb{L}^p\) \((p\geq 2)\)-solutions of generalized BSDEs with jumps and monotone generator in a general filtration
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+Q3925594
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+Stochastic quadratic BSDE with two RCLL obstacles
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+\(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method
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+Optimal stopping of marked point processes and reflected backward stochastic differential equations
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+OPTIONAL MARTINGALES
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+DECOMPOSITION OF OPTIONAL SUPERMARTINGALES
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+Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives
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+European Options in a Nonlinear Incomplete Market Model with Default
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+Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
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+Optimal stopping with \(f\)-expectations: the irregular case
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+Q4274285
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+An enlargement of filtration formula with applications to multiple non-ordered default times
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+Characteristics and Constructions of Default Times
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+Semi-martingales et grossissement d'une filtration
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+American options in nonlinear markets
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+Reflected BSDEs with regulated trajectories
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+Progressive enlargement of filtrations and backward stochastic differential equations with jumps
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+Binary funding impacts in derivative valuation
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+Th�orie des processus stochastiques g�n�raux applications aux surmartingales
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+FAIR BILATERAL PRICES IN BERGMAN’S MODEL WITH EXOGENOUS COLLATERALIZATION
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+A BSDE approach to fair bilateral pricing under endogenous collateralization
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+A definition and some characteristic properties of pseudo-stopping times
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+Chaotic and predictable representations for Lévy processes.
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+Q4357511
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+Reflected BSDE with a constraint and its applications in an incomplete market
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+BSDEs with jumps, optimization and applications to dynamic risk measures
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+Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
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+Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition
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+Lévy processes, polynomials and martingales
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+Valuation of American options in the presence of event risk
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+CVA AND FVA TO DERIVATIVES TRADES COLLATERALIZED BY CASH
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