• français
    • English
  • français 
    • français
    • English
  • Connexion
JavaScript is disabled for your browser. Some features of this site may not work without it.
Accueil

Afficher

Cette collectionPar Date de CréationAuteursTitresSujetsNoms de revueToute la baseCentres de recherche & CollectionsPar Date de CréationAuteursTitresSujetsNoms de revue

Mon compte

Connexion

Statistiques

Afficher les statistiques d'usage

BSDEs with default jump

Thumbnail
Ouvrir
Abel_DGQS.pdf (346.7Kb)
Date
2016-12
Indexation documentaire
Analyse
Subject
Backward Stochastic Differential Equations
Nom de la revue
Computation and Combinatorics in Dynamics, Stochastics and Control - The Abel Symposium 2016
Volume
13
Date de publication
2018
Nom de l'éditeur
Springer
URI
https://basepub.dauphine.fr/handle/123456789/17932
Collections
  • CEREMADE : Publications
Métadonnées
Afficher la notice complète
Auteur
Dumitrescu, Roxana
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Grigorova, Miryana
451421 University of Bielefeld
Quenez, Marie-Claire
Sulem, Agnès
454310 Inria de Paris
Type
Article accepté pour publication ou publié
Résumé en anglais
We study (nonlinear) Backward Stochastic Differential Equations (BSDEs) driven by a Brownian motion and a martingale attached to a default jump with intensity process λ = (λ t). The driver of the BSDEs can be of a generalized form involving a singular optional finite variation process. In particular, we provide a comparison theorem and a strict comparison theorem. In the special case of a generalized λ-linear driver, we show an explicit representation of the solution, involving conditional expectation and an adjoint exponential semimartingale; for this representation, we distinguish the case where the singular component of the driver is predictable and the case where it is only optional. We apply our results to the problem of (nonlinear) pricing of European contingent claims in an imperfect market with default. We also study the case of claims generating intermediate cashflows, in particular at the default time, which are modeled by a singular optional process. We give an illustrating example when the seller of the European option is a large investor whose portfolio strategy can influence the probability of default.

  • Accueil Bibliothèque
  • Site de l'Université Paris-Dauphine
  • Contact
SCD Paris Dauphine - Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16

 Cette création est mise à disposition sous un contrat Creative Commons.