BSDEs with polynomial growth generators in a defaultable market
DOI10.1016/J.JMAA.2013.03.038zbMATH Open1304.60067OpenAlexW2088462969MaRDI QIDQ488680FDOQ488680
Dongmei Guo, Huinan Leng, Qi Zhang
Publication date: 26 January 2015
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2013.03.038
backward stochastic differential equationdefault timedefaultable marketdefault processpolynomial growth generator
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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