Limit behaviour of BSDE with jumps and with singular terminal condition

DOI10.1051/ps/2016024zbMath1355.60080arXiv1601.03186OpenAlexW2963169705MaRDI QIDQ2954247

Alexandre Popier

Publication date: 12 January 2017

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.03186

zbMATH Keywords

jumpssingularitybackward stochastic differential equationslimit behaviourgeneral filtration

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Functional limit theorems; invariance principles (60F17)

Related Items (7)

Limit behaviour of the minimal solution of a BSDE with singular terminal condition in the non Markovian setting ⋮ L^p-solution for BSDEs with jumps in the casep<2 ⋮ Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint ⋮ Continuity problem for singular BSDE with random terminal time ⋮ Backward stochastic differential equations with non-Markovian singular terminal values ⋮ Backward stochastic differential equations with non-Markovian singular terminal conditions for general driver and filtration ⋮ Integro-partial differential equations with singular terminal condition

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