Lp-solutions of backward stochastic differential equations with default time

Badr Elmansouri and Mohamed Marzougue

Statistics & Probability Letters, 2025, vol. 223, issue C

Abstract: In this paper, we address the problem of existence and uniqueness of Lp-solutions for backward stochastic differential equations (BSDEs) with default time, for p∈(1,2). Under appropriate Lp-integrability conditions on the data and a γ-Lipschitz condition on the coefficient, where γ is the intensity process of the martingale associated with the default jump, we prove the existence and uniqueness of an Lp-solution.

Keywords: Backward SDEs; ▪-solutions; Default time (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.spl.2025.110407

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