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Article Dans Une Revue Probability, Uncertainty and Quantitative Risk Année : 2020

Limit behaviour of the minimal solution of a BSDE with singular terminal condition in the non Markovian setting

Résumé

We use the functional Itô calculus to prove that the solution of a BSDE with singular terminal condition verifies at the terminal time: lim inf t→T Y (t) = ξ = Y (T). Hence, we extend known results for a non-Markovian terminal condition.
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Dates et versions

hal-02540615 , version 1 (24-12-2020)

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Dmytro Marushkevych, Alexandre Popier. Limit behaviour of the minimal solution of a BSDE with singular terminal condition in the non Markovian setting. Probability, Uncertainty and Quantitative Risk, 2020, 5 (1), ⟨10.1186/s41546-020-0043-5⟩. ⟨hal-02540615⟩
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