BSDEs with random default time and related zero-sum stochastic differential games

DOI10.1016/j.crma.2009.11.009zbMath1200.60047arXiv0910.2091MaRDI QIDQ2269672

Shige Peng, Xiao-Ming Xu

Publication date: 17 March 2010

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0910.2091

zbMATH Keywords

comparison theorem; zero-sum stochastic games; BSDE with random default time

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H30: Applications of stochastic analysis (to PDEs, etc.)

Related Items

A stochastic maximum principle for backward control systems with random default time, Reflected and doubly reflected BSDEs driven by RCLL martingales, BSDEs with polynomial growth generators in a defaultable market, Reflected BSDEs with random default time and related mixed optimal stopping-control problems, Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales

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