Doubly Reflected BSDEs with default time under stochastic Lipschitz coefficients and Applications
Probability
2025-07-09 v1
Abstract
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.
Cite
@article{arxiv.2507.05834,
title = {Doubly Reflected BSDEs with default time under stochastic Lipschitz coefficients and Applications},
author = {Badr Elmansouri and Mohamed El Otmani},
journal= {arXiv preprint arXiv:2507.05834},
year = {2025}
}