Asymptotic approach for backward stochastic differential equation with singular terminal condition

DOI10.1016/J.SPA.2020.12.004zbMath1454.60077arXiv1906.05154OpenAlexW3113953391WikidataQ115341125 ScholiaQ115341125MaRDI QIDQ1994916

Alexandre Popier, Paulwin Graewe

Publication date: 18 February 2021

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1906.05154

zbMATH Keywords

asymptotic approachbackward stochastic differential equationsingular terminal conditionsingular generator

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic analysis (60H99)

Related Items (1)

Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint

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