Reflected BSDEs with default time and irregular obstacles

DOI10.5802/CRMATH.713MaRDI QIDQ6993300zbMATH OpenFDO

Authors Badr Elmansouri

Publication date 25 April 2025

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.5802/CRMATH.713

zbMATH Keywords

backward stochastic differential equationsirregular obstaclesMertens decompositionstochastic Lipschitz coefficient

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(5)

• Optimal control over split stopping times in defaultable settings and reflected BSDEs with irregular obstacles
• Applications of doubly reflected BSDEs driven by RCLL martingales to Dynkin games and American game options
• Generalized reflected backward doubly SDEs with irregular barriers and continuous coefficients
• On reflected BSDEs with jumps and default time
• Reflected BSDEs driven by RCLL martingales with stochastic Lipschitz coefficient in a general filtration: analysis and applications

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