Work

Reflected BSDEs with default time and irregular obstacles

Year: 2025

Type: article

Abstract: In this note, we study reflected backward stochastic differential equations with a default time, where the reflecting obstacle is not necessarily right-continuous. We establish the existence and uniqueness of a solution for such equations under a stochastic Lipschitz condition on the coefficient.

Source: Comptes Rendus Mathématique

DOI: 10.5802/crmath.713

Author: Badr Elmansouri

Institution: Université Ibn Zohr

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

Funder: Centre National pour la Recherche Scientifique et Technique

OpenAlex ID: W4409245260