English

Continuity problem for singular BSDE with random terminal time

Analysis of PDEs 2020-11-11 v1 Probability

Abstract

We study a class of nonlinear BSDEs with a superlinear driver process f adapted to a filtration F and over a random time interval [[0, S]] where S is a stopping time of F. The terminal condition ξ\xi is allowed to take the value +\infty, i.e., singular. Our goal is to show existence of solutions to the BSDE in this setting. We will do so by proving that the minimal supersolution to the BSDE is a solution, i.e., attains the terminal values with probability 1. We consider three types of terminal values: 1) Markovian: i.e., ξ\xi is of the form ξ\xi = g(Ξ\Xi S) where Ξ\Xi is a continuous Markovian diffusion process and S is a hitting time of Ξ\Xi and g is a deterministic function 2) terminal conditions of the form ξ\xi = \infty ×\times 1 {τ\tau \leS} and 3) ξ\xi 2 = \infty ×\times 1 {τ\tau >S} where τ\tau is another stopping time. For general ξ\xi we prove the minimal supersolution is continuous at time S provided that F is left continuous at time S. We call a stopping time S solvable with respect to a given BSDE and filtration if the BSDE has a minimal supersolution with terminal value \infty at terminal time S. The concept of solvability plays a key role in many of the arguments. Finally, we discuss implications of our results on the Markovian terminal conditions to solution of nonlinear elliptic PDE with singular boundary conditions.

Keywords

Cite

@article{arxiv.2011.05200,
  title  = {Continuity problem for singular BSDE with random terminal time},
  author = {Alexandre Popier and Sharoy Samuel and Ali Sezer},
  journal= {arXiv preprint arXiv:2011.05200},
  year   = {2020}
}
R2 v1 2026-06-23T20:03:05.602Z