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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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

@article{CRMATH_2025__363_G3_223_0, author = {Badr Elmansouri}, title = {Reflected {BSDEs} with default time and irregular obstacles}, journal = {Comptes Rendus. Math\'ematique}, pages = {223--233}, publisher = {Acad\'emie des sciences, Paris}, volume = {363}, year = {2025}, doi = {10.5802/crmath.713}, language = {en}, }
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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