Lp-solutions of backward stochastic differential equations with default time

被引：0

作者：

Elmansouri, Badr ^{[1
]}

Marzougue, Mohamed ^{[2
]}

机构：

[1] Ibn Zohr Univ, Fac Sci Agadir, Lab Anal Math & Applicat LAMA, BP8106, Agadir 80000, Morocco

[2] Abdelmalek Essaadi Univ, Fac Sci Tetouan, Lab LAR2As, Tetouan 93000, Morocco

来源：

STATISTICS & PROBABILITY LETTERS | 2025年 / 223卷

关键词：

Backward SDEs; Lp-solutions; Default time; BSDES; JUMPS;

D O I：

10.1016/j.spl.2025.110407

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we address the problem of existence and uniqueness of Lp-solutions for backward stochastic differential equations (BSDEs) with default time, for p is an element of(1,2). Under appropriate Lp-integrability conditions on the data and a gamma-Lipschitz condition on the coefficient, where gamma is the intensity process of the martingale associated with the default jump, we prove the existence and uniqueness of an Lp-solution.

引用

页数：9

共 29 条

[1]

Aksamit A., 2017, ENLARGEMENT FILTRATI

[2] CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP [J].

Ankirchner, Stefan ;

Blanchet-Scalliet, Christophette ;

Eyraud-Loisel, Anne .

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2010, 13 (07) :1103-1129

[3]

Bielecki T.R., 2004, CREDIT RISK MODELING

[4]

Bielecki TR, 2004, LECT NOTES MATH, V1847, P1

[5]

Blanchet-Scalliet C., 2010, Le Bull. Fran c Cais Actuar., V20, P102

[6] Lp solutions of backward stochastic differential equations [J].

Briand, P ;

Delyon, B ;

Hu, Y ;

Pardoux, E ;

Stoica, L .

STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2003, 108 (01) :109-129

[7]

Briand PH., 2000, J APPL MATH STOCHAST, V13, P207

[8] Lp Solutions of One-Dimensional Backward Stochastic Differential Equations with Continuous Coefficients [J].

Chen, Shaokuan .

STOCHASTIC ANALYSIS AND APPLICATIONS, 2010, 28 (05) :820-841

[9]

Dellacherie C., 1975, Publications de l'Institut de Mathematique de l'Universite de Strasbourg, no. XV, Actualites Scientifiques et Industrielles, V1372

[10]

Dumitrescu R, 2018, ABEL SYMP, V13, P233, DOI 10.1007/978-3-030-01593-0_9

← 1 2 3 →