Limit behaviour of the minimal solution of a BSDE in the non Markovian setting
Probability
2019-03-11 v1
Abstract
We use the functional It{\^o} calculus to prove that the solution of a BSDE with singular terminal condition is continuous at the terminal time. Hence we extend known results for a non-Markovian terminal condition.
Cite
@article{arxiv.1903.03464,
title = {Limit behaviour of the minimal solution of a BSDE in the non Markovian setting},
author = {Dmytro Marushkevych and Alexandre Popier},
journal= {arXiv preprint arXiv:1903.03464},
year = {2019}
}
Comments
arXiv admin note: substantial text overlap with arXiv:1601.03186