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
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