Doubly Reflected BSDEs with default time under stochastic Lipschitz coefficients and Applications
Fuente:
arXiv
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| Autores principales: | , |
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| Formato: | Preprint |
| Publicado: |
2025
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| Acceso en línea: | |
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| _version_ | 1866908440842993664 |
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| author | Elmansouri, Badr Otmani, Mohamed El |
| author_facet | Elmansouri, Badr Otmani, Mohamed El |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2507_05834 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Doubly Reflected BSDEs with default time under stochastic Lipschitz coefficients and Applications Elmansouri, Badr Otmani, Mohamed El Probability 60H05, 60H10, 60H15, 34F05, 35R60, 60H30 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. |
| title | Doubly Reflected BSDEs with default time under stochastic Lipschitz coefficients and Applications |
| topic | Probability 60H05, 60H10, 60H15, 34F05, 35R60, 60H30 |
| url | https://arxiv.org/abs/2507.05834 |