In this paper we study the one-dimensional reflected backward stochastic differential equations which are driven by Brownian motion as well as a mutually independent martingale appearing in a defaultable setting. Usin...In this paper we study the one-dimensional reflected backward stochastic differential equations which are driven by Brownian motion as well as a mutually independent martingale appearing in a defaultable setting. Using a penalization method, we prove the existence and uniqueness of the solutions to these equations. As an application, we show that under proper assumptions the solution of the reflected equation is the value of the related mixed optimal stopping-control problem.展开更多
基金supported by Humanities and Social Science Research Youth Fund of the Ministry of Education (11YJC790015)Economic and Financial Research Department, National Centre for Mathematics and interdisciplinary Sciences, CAS+2 种基金the Innovative Research Team Support Program of Central University of Finance and EconomicsThe second author is supported by the Mathematical Tianyuan Foundation of China(Grant No. 11126050)the Specialized Research Fund for the Doctoral Program of Higher Education of China (Grant No. 20113207120002)
文摘In this paper we study the one-dimensional reflected backward stochastic differential equations which are driven by Brownian motion as well as a mutually independent martingale appearing in a defaultable setting. Using a penalization method, we prove the existence and uniqueness of the solutions to these equations. As an application, we show that under proper assumptions the solution of the reflected equation is the value of the related mixed optimal stopping-control problem.
