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

DOI10.1214/009117906000000746zbMath1125.60054arXiv0707.4387MaRDI 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 solution; backward stochastic differential equation; non integrable data

Mathematics Subject Classification ID

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

35J65: Nonlinear boundary value problems for linear elliptic equations

35J60: Nonlinear elliptic equations

60G40: Stopping times; optimal stopping problems; gambling theory

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

Related Items

On backward stochastic differential equations and strict local martingales, Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting

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