ON REFLECTED BSDES WITH JUMPS AND DEFAULT TIME
Abstract
We introduce a new class of reflected BSDEs with default times and irregular obstacles, where the publicly available information is generated by a Brownian motion and an independent integer-valued random measure. Under a stochastic Lipschitz condition on the driver, we establish the well-posedness of the problem by proving the existence and uniqueness of a solution. As an application, we investigate the connection between these equations and optimal stopping problems with dynamic risk measures defined via nonlinear expectations, as well as the pricing and hedging of American options in a general defaultable market with jumps.
Fields of Study & Subjects
Stochastic processes and financial applications
Capital Investment and Risk Analysis
Risk and Portfolio Optimization
Publication details
- Journal / source
- International Journal of Theoretical and Applied Finance
- Publisher
- World Scientific Pub Co Pte Ltd
- Volume
- 29
- Issue
- 04
- Publication date
- 22 April 2026
- Language
- EN