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Limit behaviour of the minimal solution of a BSDE in the non Markovian setting
- Publication Year :
- 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
- Subjects :
- Mathematics - Probability
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.1903.03464
- Document Type :
- Working Paper