BSDEs with default jump

DOI10.1007/978-3-030-01593-0_9MaRDI QIDQ1733952zbMATH OpenOpenAlexFDO

Authors Roxana Dumitrescu, Miryana Grigorova, Marie-Claire Quenez, Agnès Sulem

Publication date 22 March 2019

Full work available at URL http://eprints.whiterose.ac.uk/150328/1/Abel_DGQS.pdf

zbMATH Keywords

Brownian motionEuropean optionexponential semimartingale

Mathematics Subject Classification ID

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

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