Reflected Advanced Backward Stochastic Differential Equations with Default

N. Agram; S. Labed; B. Mansouri; M. A. Saouli

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arXiv · 1803.07444

Reflected Advanced Backward Stochastic Differential Equations with Default

N. Agram·S. Labed·B. Mansouri·M. A. Saouli

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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.

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N. Agram, S. Labed, B. Mansouri, M. A. Saouli. 2018-03-20. Reflected Advanced Backward Stochastic Differential Equations with Default. https://arxiv.org/abs/1803.07444

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