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

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

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article

Reflected BSDEs with default time and irregular obstacles

Badr Elmansouri
3 citations
Comptes Rendus Mathématique
Stochastic processes and financial applications
6.62
article

Reflected BSDEs with default time and irregular obstacles

Badr Elmansouri
article en
3 citations

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.

Comptes Rendus MathématiqueVol. 363(G3)
Centre National pour la Recherche Scientifique et Technique
Openalex Percentile: Top 4%
Stochastic processes and financial applications
6.62
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Reflected BSDEs with default time and irregular obstacles — Badr Elmansouri · Comptes Rendus Mathématique (2025) | TGRS Research Map | TGRS