Penalization schemes for BSDEs and reflected BSDEs with generalized driver  

作　　者：Libo Li Ruyi Liu Marek Rutkowski 

机构地区：[1]School of Mathematics and Statistics,University of New South Wales,Sydney,NSW 2052,Australia [2]School of Mathematics and Statistics,University of Sydney,Sydney,NSW 2006,Australia [3]Faculty of Mathematics and Information Science,Warsaw University of Technology,00-661 Warszawa,Poland

出　　处：《Probability, Uncertainty and Quantitative Risk》2024年第3期301-338,共38页概率、不确定性与定量风险（英文）

基　　金：supported by the Australian Research Council Discovery Project (Grant No.DP220103106).

摘　　要：The paper is directly motivated by the pricing of vulnerable European and American options in a general hazard process setup and a related study of the corresponding pre-default backward stochastic differential equations(BSDE)and pre-default reflected backward stochastic differential equations(RBSDE).The goal of this work is twofold.First,we aim to establish the well-posedness results and comparison theorems for a generalized BSDE and a reflected generalized BSDE with a continuous and nondecreasing driver A.Second,we study penalization schemes for a generalized BSDE and a reflected generalized BSDE in which we penalize against the driver in order to obtain in the limit either a constrained optimal stopping problem or a constrained Dynkin game in which the set of minimizer's admissible exercise times is constrained to the right support of the measure generated by A.

关 键 词：Generalized BSDEs Reflected generalized BSDEs Penalization scheme Constrained optimal stopping Constrained Dynkin game 

分 类 号：O175[理学—数学]