Backward stochastic differential equations with random stopping time and singular final condition

DOI10.1214/009117906000000746zbMath1125.60054arXiv0707.4387OpenAlexW3101099514MaRDI QIDQ2370097

Alexandre Popier

Publication date: 22 June 2007

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0707.4387

zbMATH Keywords

viscosity solutionbackward stochastic differential equationnon integrable data

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear boundary value problems for linear elliptic equations (35J65) Nonlinear elliptic equations (35J60) Stopping times; optimal stopping problems; gambling theory (60G40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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