Comptes Rendus
Research article - Probability theory
Reflected BSDEs with default time and irregular obstacles
Comptes Rendus. Mathématique, Volume 363 (2025), pp. 223-233.

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.

Dans cette note, nous étudions les équations différentielles stochastiques rétrogrades réfléchies avec un temps de défaut, où l’obstacle de réflexion n’est pas nécessairement continu à droite. Nous établissons l’existence et l’unicité d’une solution pour de telles équations sous une condition de Lipschitz stochastique sur le coefficient.

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Accepted:
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DOI: 10.5802/crmath.713
Classification: 60H05, 60H30, 60G40, 91G80
Keywords: Reflected BSDEs, irregular obstacle, stochastic Lipschitz coefficient, Mertens decomposition
Mots-clés : EDSRs réfléchies, obstacle irrégulier, coefficient de Lipschitz stochastique, décomposition de Mertens

Badr Elmansouri 1

1 Laboratory of Analysis and Applied Mathematics (LAMA), Faculty of Sciences Agadir, Ibn Zohr University, BP 8106-Cité Dakhla, 80000, Agadir, Morocco
License: CC-BY 4.0
Copyrights: The authors retain unrestricted copyrights and publishing rights
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Badr Elmansouri. Reflected BSDEs with default time and irregular obstacles. Comptes Rendus. Mathématique, Volume 363 (2025), pp. 223-233. doi : 10.5802/crmath.713. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.5802/crmath.713/

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