Reflected Advanced Backward Stochastic Differential Equations with Default
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.
- Publication:
-
arXiv e-prints
- Pub Date:
- March 2018
- DOI:
- 10.48550/arXiv.1803.07444
- arXiv:
- arXiv:1803.07444
- Bibcode:
- 2018arXiv180307444A
- Keywords:
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- Mathematics - Optimization and Control;
- Reflected Advanced Backward Stochastic Differential Equations;
- Single Jump;
- Progressive Enlargement of Filtration