Reflected BSDEs with default time and irregular obstacles
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.
Authors
- Badr Elmansouri (ORCID: https://orcid.org/0000-0003-2603-894X)
Publication Details
- Journal
- Comptes Rendus Mathématique
- Published
- 2025-04-08
- DOI
- https://doi.org/10.5802/crmath.713
- Citations
- 3
- Primary Topic
- Stochastic processes and financial applications
- Type
- article
- Field-Weighted Citation Impact
- 6.62
Funders
- Centre National pour la Recherche Scientifique et Technique