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

	Reflected BSDEs with random default time and related mixed optimal stopping-control problems
	Guo Dongmei 2; Xu Xiaoming 1
刊名	ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES
	2013
卷号	29 期号:1 页码:165-178
关键词	STOCHASTIC DIFFERENTIAL-EQUATIONS RISK backward stochastic differential equation random default time mixed optimal stopping-control problem
ISSN号	0168-9673
其他题名	Reflected BSDEs with Random Default Time and Related Mixed Optimal Stopping-control Problems
英文摘要	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.
资助项目	[Humanities and Social Science Research Youth Fund of the Ministry of Education] ; [Economic and Financial Research Department, National Centre for Mathematics and interdisciplinary Sciences, CAS] ; [Innovative Research Team Support Program of Central University of Finance and Economics] ; [Mathematical Tianyuan Foundation of China] ; [Specialized Research Fund for the Doctoral Program of Higher Education of China]
语种	英语
CSCD记录号	CSCD:4787297
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/53533]
专题	中国科学院数学与系统科学研究院
作者单位	1.中国科学院南京地理与湖泊研究所 2.Cent University Finance & Econ, Sch Econ, Beijing 100081, Peoples R China 3.中国科学院数学与系统科学研究院
推荐引用方式 GB/T 7714	Guo Dongmei,Xu Xiaoming. Reflected BSDEs with random default time and related mixed optimal stopping-control problems[J]. ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,2013,29(1):165-178.
APA	Guo Dongmei,&Xu Xiaoming.(2013).Reflected BSDEs with random default time and related mixed optimal stopping-control problems.ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,29(1),165-178.
MLA	Guo Dongmei,et al."Reflected BSDEs with random default time and related mixed optimal stopping-control problems".ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES 29.1(2013):165-178.