Before revision: In this paper, we study the properties of nonlinear BSDEs driven by a Brownian motion and a martingale measure associated with a default jump with intensity process (\lambda_t).
After revision: In this paper, 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).