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arXiv · 1903.03464

Limit behaviour of the minimal solution of a BSDE in the non Markovian setting

Dmytro Marushkevych·Alexandre Popier
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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.

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Dmytro Marushkevych, Alexandre Popier. 2019-03-07. Limit behaviour of the minimal solution of a BSDE in the non Markovian setting. https://arxiv.org/abs/1903.03464

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