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hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorDumitrescu, Roxana
hal.structure.identifierInstitut für Mathematik [Humboldt]
dc.contributor.authorGrigorova, Miryana
hal.structure.identifierLaboratoire de Probabilités, Statistiques et Modélisations [LPSM (UMR_8001)]
dc.contributor.authorQuenez, Marie-Claire
hal.structure.identifierINRIA Rocquencourt
dc.contributor.authorSulem, Agnès
dc.date.accessioned2020-06-09T10:42:01Z
dc.date.available2020-06-09T10:42:01Z
dc.date.issued2016
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/20856
dc.language.isoenen
dc.subjectBackward Stochastic Differential Equationsen
dc.subject.ddc515en
dc.titleBSDEs with default jumpen
dc.typeCommunication / Conférence
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 = (λt). 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.identifier.citationpages233-263en
dc.relation.ispartofeditorElena Celledoni, Giulia Di Nunno, Kurusch Ebrahimi-Fard, Hans Zanna Munthe-Kaas
dc.relation.ispartofpublnameSpringeren
dc.relation.ispartofpages737en
dc.relation.ispartofurl10.1007/978-3-030-01593-0en
dc.subject.ddclabelAnalyseen
dc.relation.ispartofisbn978-3-030-01592-3en
dc.relation.conftitleAbelsymposium 2016: Computation and Combinatorics in Dynamics, Stochastics and Controlen
dc.relation.confdate2016-08
dc.relation.confcityRosendalen
dc.relation.confcountryNorwayen
dc.relation.forthcomingnonen
dc.identifier.doi10.1007/978-3-030-01593-0_9en
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewednonen
dc.relation.Isversionofjnlpeerreviewednonen
dc.date.updated2020-06-09T10:35:35Z
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