Limit behaviour of the minimal solution of a BSDE with singular terminal condition in the non Markovian setting
Abstract We use the functional Itô calculus to prove that the solution of a BSDE with singular terminal condition verifies at the terminal time: liminf t → T Y ( t ) = ξ = Y ( T ) $\liminf _{t\to T} Y(t) = \xi = Y(T)$ . Hence, we extend known results for a non-Markovian terminal condition.
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2020-02-01
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| Series: | Probability, Uncertainty and Quantitative Risk |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s41546-020-0043-5 |