Generalized BSDEs with random time horizon in a progressively enlarged filtration
Probability
2021-05-17 v1 Mathematical Finance
Abstract
We study generalized backward stochastic differential equations (BSDEs) up to a random time horizon , which is not a stopping time, under minimal assumptions regarding the properties of . In contrast to existing works in this area, we do not impose specific assumptions on the random time and we study the existence of solutions to BSDEs and reflected BSDEs with a random time horizon through the method of reduction. In addition, we also examine BSDEs and reflected BSDEs with a l\`adl\`ag driver where the driver is allowed to have a finite number of common jumps with the martingale part.
Keywords
Cite
@article{arxiv.2105.06654,
title = {Generalized BSDEs with random time horizon in a progressively enlarged filtration},
author = {Anna Aksamit and Libo Li and Marek Rutkowski},
journal= {arXiv preprint arXiv:2105.06654},
year = {2021}
}