Limit behaviour of the minimal solution of aBSDE with singular terminal condition in the nonMarkovian setting

Dmytro Marushkevych; Alexandre Popier

doi:10.1186/s41546-020-0043-5

Article Contents

2020, Volume 5: 1. Doi: 10.1186/s41546-020-0043-5

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

Dmytro Marushkevych and
Alexandre Popier^,

Laboratoire Manceau de Mathématiques, Le Mans Université, Avenue Olivier Messiaen, 72085 Le Mans cedex 9, France

Alexandre Popier, alexandre.popier@univ-lemans.fr

Received: March 07, 2019

Early access: February 2020

Published: September 2020

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Abstract

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.

Keywords:

Backward stochastic differential equations,
Functional stochastic calculus,
Singularity.

Mathematics Subject Classification: 60G99;60H99.

Citation:

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References

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