Continuity problem for singular BSDE with random terminal time

zbMath1500.35173arXiv2011.05200MaRDI QIDQ5043557

Sharoy Augustine Samuel, Alexandre Popier, Ali Devin Sezer

Publication date: 6 October 2022

Full work available at URL: https://arxiv.org/abs/2011.05200

zbMATH Keywords

singularitystopping timebackward stochastic differential equationcontinuity problem

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic processes (60G99) Stochastic analysis (60H99) Singular elliptic equations (35J75)

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