Abstract
AbstractWe use the functional Itô calculus to prove that the solution of a BSDE with singular terminal condition verifies at the terminal time: $\liminf _{t\to T} Y(t) = \xi = Y(T)$liminft→TY(t)=ξ=Y(T). Hence, we extend known results for a non-Markovian terminal condition.
Publisher
American Institute of Mathematical Sciences (AIMS)
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