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

作者：Peng Shige^*; Xu Xiaoming

来源：Comptes Rendus Mathematique, 2010, 348(3-4): 193-198.

DOI：10.1016/j.crma.2009.11.009

In this Note we are concerned with backward stochastic differential equations with random default time. The equations are driven by Brownian motion as well as a mutually independent martingale appearing in a defaultable setting. We show that these equations have unique solutions and a comparison theorem for their solutions. As an application, we get a saddle-point strategy for the related zero-sum stochastic differential game problem. (D 2009 Academie des sciences. Published by Elsevier Masson SAS.

• 出版日期2010-2
• 单位山东大学