BSDEs with default jump
  We study the properties of nonlinear Backward Stochastic Differential Equations (BSDEs) driven by a Brownian motion and a martingale measure associated with a default jump with intensity process $(\lambda_t)$. We give a priori estimates for these equations and prove comparison and strict comparison theorems. These results are generalized to drivers involving a singular process. The special case of a $\lambda$-linear driver is studied, leading to a representation of the solution of the associated BSDE in terms of a conditional expectation and an adjoint exponential semi-martingale. We then apply these results to nonlinear pricing of European contingent claims in an imperfect financial market with a totally defaultable risky asset. The case of claims paying dividends is also studied via a singular process. 
Roxana Dumitrescu, Marie-Claire Quenez and Agn\`es Sulem
q-fin.PR math.PR