Showing math.PRShow all
2 papers · 1 filter
math.PR2024
Linear reflected backward stochastic differential equations arising from vulnerable claims in markets with random horizon
T. Choulli, S. Alsheyab
This paper considers the setting governed by , where is the "public" flow of information, and is a random time which might not be -obse…
math.PR2021
Reflected backward stochastic differential equations under stopping with an arbitrary random time
Safa Alsheyab, Tahir Choulli
This paper addresses reflected backward stochastic differential equations (RBSDE hereafter) that take the form of \begin{eqnarray*} \begin{cases} dY_t=f(t,Y_t, Z_t)d(t\wedgeτ)+Z_td…