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

DOI10.1016/J.CRMA.2009.11.009MaRDI QIDQ2269672zbMATH OpenOpenAlexFDO

Authors Shige Peng, Xiaoming 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 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)

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.

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Cited in

(9)

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• 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
• Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales
• RBDSDEs with jumps and optional Barrier and mean field game with common noise
• 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

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