Continuity problem for singular BSDE with random terminal time
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 is allowed to take the value +, 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., is of the form = g( S) where is a continuous Markovian diffusion process and S is a hitting time of and g is a deterministic function 2) terminal conditions of the form = 1 { S} and 3) 2 = 1 { >S} where is another stopping time. For general 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 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.
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}
}