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


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Article Info

DATE

2020-02-19

AUTHORS

Dmytro Marushkevych, Alexandre Popier

ABSTRACT

We use the functional Itô calculus to prove that the solution of a BSDE with singular terminal condition verifies at the terminal time: liminft→TY(t)=ξ=Y(T)\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$\liminf _{t\to T} Y(t) = \xi = Y(T)$\end{document}. Hence, we extend known results for a non-Markovian terminal condition.

PAGES

1

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URI

http://scigraph.springernature.com/pub.10.1186/s41546-020-0043-5

DOI

http://dx.doi.org/10.1186/s41546-020-0043-5

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