Reflected BSDEs with random default time and related mixed optimal stopping-control problems

DOI10.1007/s10255-013-0202-xzbMath1263.60051MaRDI QIDQ1945980

Dongmei Guo, Xiao-Ming Xu

Publication date: 17 April 2013

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-013-0202-x

zbMATH Keywords

backward stochastic differential equation; mixed optimal stopping-control problem; random default time

Mathematics Subject Classification ID

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

60H05: Stochastic integrals

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