Limit behaviour of the minimal solution of a BSDE with singular terminal condition in the non Markovian setting

作     者：Dmytro Marushkevych Alexandre Popier Dmytro Marushkevych;Alexandre Popier

作者机构：Laboratoire Manceaude MathematiquesLe Mans UniversiteAvenue Olivier Messiaen72085 Le Mans cedex 9France 

出 版 物：《Probability, Uncertainty and Quantitative Risk》 (概率、不确定性与定量风险（英文）)

年 卷 期：2020年第5卷第1期

页      面：1-24页

学科分类：07[理学] 0701[理学-数学] 070101[理学-基础数学] 

主　　题：Backward stochastic differential equations Functional stochastic calculus Singularity 

摘      要：We use the functional Ito calculus to prove that the solution of a BSDE with singular terminal condition verifies at the terminal time:lim inf_(t→T)Y(t)=ξ=Y(T).Hence,we extend known results for a non-Markovian terminal condition.