Reflected Advanced Backward Stochastic Differential Equations with Default
Optimization and Control
2018-03-21 v1
Abstract
We are interested on reflected advanced backward stochastic differential equations (RABSDE) with default. By the predictable representation property and for a Lipschitz driver, we show that the RABSDE with default has a unique solution in the enlarged filtration. A comparison theorem for such type of equations is proved. Finally, we give a connection between RABSDE and optimal stopping.
Keywords
Cite
@article{arxiv.1803.07444,
title = {Reflected Advanced Backward Stochastic Differential Equations with Default},
author = {N. Agram and S. Labed and B. Mansouri and M. A. Saouli},
journal= {arXiv preprint arXiv:1803.07444},
year = {2018}
}