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Reflected BSDEs with random default time and related mixed optimal stopping-control problems |
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| Authors: | Dong-mei Guo Xiao-ming Xu |
| Affiliation: | 1202. School of Economics, Central University of Finance and Economics, Beijing, 100081, China 2202. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, 100190, China 3202. Institute of Mathematics, School of Mathematical Sciences, Nanjing Normal University, Nanjing, 210023, China |
| Abstract: | 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. |
| Keywords: | backward stochastic differential equation random default time mixed optimal stopping-controlproblem |
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