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
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
收藏
页码:193 / 198
页数:6
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