Limit behaviour of the minimal solution of a BSDE in the non Markovian\n setting

2019/03/07 by Dmytro Marushkevych, Marushkevych, Dmytro, Alexandre Popier +1
Mathematics · #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.1903.03464

Abstract

We use the functional It ^o calculus to prove that the solution of a BSDE\nwith singular terminal condition is continuous at the terminal time. Hence we\nextend known results for a non-Markovian terminal condition.\n

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