A Note on BSDEs with singular coefficients
Probability
2014-01-08 v3
Abstract
In this Note we study a class of BSDEs which admits a particular singularity in their driver. More precisely, we assume that the driver is not integrable and degenerates when approaching to the terminal time of the equation.
Cite
@article{arxiv.1309.5071,
title = {A Note on BSDEs with singular coefficients},
author = {Monique Jeanblanc and Anthony Reveillac},
journal= {arXiv preprint arXiv:1309.5071},
year = {2014}
}
Comments
To appear in "Arbitrage, Credit and Informational Risks", Proceedings of the Sino-French Research Program in Financial Mathematics Conference, Beijing June 2013