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Lp-solutions of backward stochastic differential equations with default time

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  • Elmansouri, Badr
  • Marzougue, Mohamed

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.

Suggested Citation

  • Elmansouri, Badr & Marzougue, Mohamed, 2025. "Lp-solutions of backward stochastic differential equations with default time," Statistics & Probability Letters, Elsevier, vol. 223(C).
    • Handle: RePEc:eee:stapro:v:223:y:2025:i:c:s0167715225000525
    DOI: 10.1016/j.spl.2025.110407
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    References listed on IDEAS

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