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

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  • We use the functional Itô calculus to prove that the solution of a BSDE with singular terminal condition verifies at the terminal time: lim inftT Y (t) = ξ = Y (T). Hence, we extend known results for a non-Markovian terminal condition.
    Mathematics Subject Classification: 60G99;60H99.

    Citation:

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