Backward stochastic differential equations with non-Markovian singular terminal values

DOI10.1142/S0219493719500060zbMath1415.60068arXiv1611.09022OpenAlexW2792205831MaRDI QIDQ5384774

Ali Devin Sezer, Thomas Kruse, Alexandre Popier

Publication date: 25 June 2019

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.09022

zbMATH Keywords

singularitybackward stochastic differential equationsreaction-diffusion equationsnon-Markovian terminal conditions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Reaction-diffusion equations (35K57) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Singular parabolic equations (35K67)

Related Items (3)

Limit behaviour of the minimal solution of a BSDE with singular terminal condition in the non Markovian setting ⋮ Continuity problem for singular BSDE with random terminal time ⋮ Backward stochastic differential equations with non-Markovian singular terminal conditions for general driver and filtration

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