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

DOI10.1214/009117906000000746MaRDI QIDQ2370097zbMATH OpenOpenAlexFDO

Authors 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

backward stochastic differential equationviscosity solutionnon integrable data

Mathematics Subject Classification ID

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

Abstract: In this paper we are concerned with one-dimensional backward stochastic differential equations (BSDE in short) of the following type: [Y_t=xi -int_{twedge au}^{ au}Y_r|Y_r|^q dr-int_{twedge au}^{ au}Z_r dB_r,qquad tgeq 0,] where $au$ is a stopping time, $q$ is a positive constant and $xi$ is a $mathcal{F}_{au}$-measurable random variable such that $mathbfP(xi=+infty)>0$. We study the link between these BSDE and the Dirichlet problem on a domain $Dsubsetmathbb{R}^d$ and with boundary condition $g$, with $g=+infty$ on a set of positive Lebesgue measure. We also extend our results for more general BSDE.

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Cited in

(9)

• Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting
• Optimal position targeting via decoupling fields
• Second order backward SDE with random terminal time
• Continuity problem for singular BSDE with random terminal time
• On backward stochastic differential equations and strict local martingales
• Asymptotic approach for backward stochastic differential equation with singular terminal condition
• Backward stochastic differential equations with non-Markovian singular terminal conditions for general driver and filtration
• A mean field game of optimal portfolio liquidation
• Backward stochastic differential equations with singular terminal condition

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