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