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

DOI10.1016/J.CRMA.2009.11.009zbMATH Open1200.60047arXiv0910.2091OpenAlexW2022944519MaRDI QIDQ2269672FDOQ2269672

Authors: Shige Peng, Xiaoming Xu 

Publication date: 17 March 2010

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

Abstract: In this paper we are concerned with backward stochastic differential equations with random default time and their applications to default risk. The equations are driven by Brownian motion as well as a mutually independent martingale appearing in a defaultable setting. We show that these equations have unique solutions and a comparison theorem for their solutions. As an application, we get a saddle-point strategy for the related zero-sum stochastic differential game problem.

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

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zbMATH Keywords

comparison theoremzero-sum stochastic gamesBSDE with random default time

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited In (9)

• BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness
• Continuous dependence properties on solutions of backward stochastic differential equation
• Reflected and doubly reflected BSDEs driven by RCLL martingales
• RBDSDEs with jumps and optional Barrier and mean field game with common noise
• Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales
• A stochastic maximum principle for backward control systems with random default time
• BSDEs with polynomial growth generators in a defaultable market
• Reflected BSDEs with random default time and related mixed optimal stopping-control problems
• Title not available (Why is that?)

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