A Note on BSDEs with Singular Driver Coefficients

DOI10.1142/9789814602075_0010zbMath1325.60090arXiv1309.5071OpenAlexW2253041000MaRDI QIDQ3195068

Anthony Réveillac, Monique Jeanblanc-Picqué

Publication date: 21 October 2015

Published in: Arbitrage, Credit and Informational Risks (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.5071

zbMATH Keywords

backward stochastic differential equationssingular driver coefficients

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Related Items (4)

Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control ⋮ Limit behaviour of BSDE with jumps and with singular terminal condition ⋮ Asymptotic approach for backward stochastic differential equation with singular terminal condition ⋮ Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting

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