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dc.contributor.authorDumitrescu, Roxana*
dc.contributor.authorGrigorova, Miryana*
dc.contributor.authorQuenez, Marie-Claire*
dc.contributor.authorSulem, Agnès*
dc.date.accessioned2018-09-03T14:31:24Z
dc.date.available2018-09-03T14:31:24Z
dc.date.issued2016-12
dc.identifier.issn2193-2808
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17932
dc.language.isoenen
dc.subjectBackward Stochastic Differential Equationsen
dc.subject.ddc515en
dc.titleBSDEs with default jumpen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe 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.en
dc.relation.isversionofjnlnameComputation and Combinatorics in Dynamics, Stochastics and Control - The Abel Symposium 2016
dc.relation.isversionofjnlvol13en
dc.relation.isversionofjnldate2018
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelAnalyseen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewednonen
dc.relation.Isversionofjnlpeerreviewednonen
dc.date.updated2018-09-03T14:24:28Z
hal.person.labIds60*
hal.person.labIds451421*
hal.person.labIds*
hal.person.labIds454310*


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