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Pré-Publication, Document De Travail Année : 2016

Limit behaviour of BSDE with jumps and with singular terminal condition

Résumé

We study the behaviour at the terminal time T of the minimal solution of a backward stochastic differential equation when the terminal data can take the value +∞ with positive probability. In a previous paper, we have proved existence of this minimal solution (in a weak sense) in a quite general setting. But two questions arise in this context and were still open: is the solution càdìàg on [0,T] ? In other words does the solution have a left limit at time T ? The second question is: is this limit equal to the terminal condition? In this paper, under additional conditions on the generator and the terminal condition, we give a positive answer to these two questions.
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Dates et versions

hal-01254986 , version 1 (13-01-2016)
hal-01254986 , version 2 (29-10-2016)

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A Popier. Limit behaviour of BSDE with jumps and with singular terminal condition. 2016. ⟨hal-01254986v2⟩
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