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Limit behaviour of the minimal solution of a BSDE in the non Markovian setting

Authors :
Marushkevych, Dmytro
Popier, Alexandre
Laboratoire Manceau de Mathématiques (LMM)
Le Mans Université (UM)
Publication Year :
2019
Publisher :
HAL CCSD, 2019.

Abstract

We use the functional It{\^o} calculus to prove that the solution of a BSDE with singular terminal condition is continuous at the terminal time. Hence we extend known results for a non-Markovian terminal condition.<br />Comment: arXiv admin note: substantial text overlap with arXiv:1601.03186

Details

Language :
English
Database :
OpenAIRE
Accession number :
edsair.doi.dedup.....2b0f8f565a499ee06c54068d8170bb0c