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

被引：7

作者：

Peng, Shige ^{[1
]}

Xu, Xiaoming ^{[1
]}

机构：

[1] Shandong Univ, Sch Math, Jinan 250100, Peoples R China

来源：

COMPTES RENDUS MATHEMATIQUE | 2010年 / 348卷 / 3-4期

关键词：

EQUATIONS; RISK;

D O I：

10.1016/j.crma.2009.11.009

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this Note we are concerned with backward stochastic differential equations with random default time. 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. (D 2009 Academie des sciences. Published by Elsevier Masson SAS. All rights reserved.

引用

页码：193 / 198

页数：6

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