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

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	Reflected BSDEs with random default time and related mixed optimal stopping-control problems
其他题名	Reflected BSDEs with Random Default Time and Related Mixed Optimal Stopping-control Problems
	Guo Dongmei 1; Xu Xiaoming 3
	2013
发表期刊	ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES
ISSN	0168-9673
卷号	29 期号:1 页码:165-178
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.
其他摘要	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.
关键词	STOCHASTIC DIFFERENTIAL-EQUATIONS RISK backward stochastic differential equation random default time mixed optimal stopping-control problem
收录类别	CSCD
语种	英语
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]
CSCD记录号	CSCD:4787297
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/53534
专题	中国科学院数学与系统科学研究院
作者单位	1.Cent University Finance & Econ, Sch Econ, Beijing 100081, Peoples R China 2.中国科学院数学与系统科学研究院 3.中国科学院南京地理与湖泊研究所
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.