BSDEs with random default time and related zero-sum stochastic differential games

DOI10.1016/J.CRMA.2009.11.009zbMath1200.60047arXiv0910.2091OpenAlexW2022944519MaRDI QIDQ2269672

Shige Peng, Xiao-Ming Xu

Publication date: 17 March 2010

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0910.2091

zbMATH Keywords

comparison theoremzero-sum stochastic gamesBSDE with random default time

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (5)

Reflected and doubly reflected BSDEs driven by RCLL martingales ⋮ Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales ⋮ Reflected BSDEs with random default time and related mixed optimal stopping-control problems ⋮ BSDEs with polynomial growth generators in a defaultable market ⋮ A stochastic maximum principle for backward control systems with random default time

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• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• Backward Stochastic Differential Equations in Finance
• Existence of Optimal Stochastic Control Laws

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