非马尔可夫设定下BSDE极小解的极限行为
概率论
2019-03-11 v1
摘要
我们利用泛函 Itô 微积分证明具有奇异终端条件的 BSDE 的解在终端时刻是连续的。由此我们将已知结果推广到非马尔可夫终端条件。
引用
@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}
}
备注
arXiv admin note: substantial text overlap with arXiv:1601.03186