Reflected BSDEs with random default time and related mixed optimal stopping-control problems

被引：0
|
作者：
Dong-mei Guo
Xiao-ming Xu
机构：
[1] Central University of Finance and Economics,School of Economics
[2] Chinese Academy of Sciences,Academy of Mathematics and Systems Science
[3] Nanjing Normal University,Institute of Mathematics, School of Mathematical Sciences
来源：
Acta Mathematicae Applicatae Sinica, English Series | 2013年 / 29卷
关键词：
backward stochastic differential equation; random default time; mixed optimal stopping-control problem; 60H05; 60H10;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper we study the one-dimensional reflected backward stochastic differential equations which are driven by Brownian motion as well as a mutually independent martingale appearing in a defaultable setting. Using a penalization method, we prove the existence and uniqueness of the solutions to these equations. As an application, we show that under proper assumptions the solution of the reflected equation is the value of the related mixed optimal stopping-control problem.
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页码：165 / 178
页数：13
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