Backward stochastic differential equations with singular terminal condition
In this paper, we are concerned with backward stochastic differential equations (BSDE for short) of the following type: where q is a positive constant and [xi] is a random variable such that . We study the link between these BSDE and the associated Cauchy problem with terminal data g, where g=+[infinity] on a set of positive Lebesgue measure.
Year of publication: |
2006
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Authors: | Popier, A. |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 116.2006, 12, p. 2014-2056
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Publisher: |
Elsevier |
Keywords: | Backward stochastic differential equation Non-integrable data Viscosity solutions of partial differential equations |
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