Asymptotic approach for backward stochastic differential equation with singular terminal condition *

2019/06/12 by Paulwin Graewe, Graewe, Paulwin, Alexandre Popier +1 · 3 citations
Economics, Econometrics and Finance · Engineering · Mathematics · #FOS: Mathematics #Nonlinear Differential Equations Analysis #Probability (math.PR) #Stability and Controllability of Differential Equations #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1906.05154

openalex publication_date 2019/06/12 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, we provide a one-to-one correspondence between the solution Y of a BSDE with singular terminal condition and the solution H of a BSDE with singular generator. This result provides the precise asymptotic behavior of Y close to the final time and enlarges the uniqueness result to a wider class of generators.

Citations

• Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting

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