|国家预印本平台
首页|Doubly Reflected BSDEs with default time under stochastic Lipschitz coefficients and Applications

Doubly Reflected BSDEs with default time under stochastic Lipschitz coefficients and Applications

Doubly Reflected BSDEs with default time under stochastic Lipschitz coefficients and Applications

来源:Arxiv_logoArxiv
英文摘要

We formulate a notion of doubly reflected BSDEs with a default time and two completely separated RCLL barriers. We demonstrate the existence and uniqueness of the solution. Within the defaultable setup, we introduce a type of generalized Dynkin game, we characterize the common value of the game via the solution of the doubly reflected BSDEs and we show the existence of a saddle point.

Badr Elmansouri、Mohamed El Otmani

数学

Badr Elmansouri,Mohamed El Otmani.Doubly Reflected BSDEs with default time under stochastic Lipschitz coefficients and Applications[EB/OL].(2025-07-08)[2025-07-23].https://arxiv.org/abs/2507.05834.点此复制

评论