Backward stochastic differential equations with singular terminal condition

A. Popier

Stochastic Processes and their Applications, 2006, vol. 116, issue 12, 2014-2056

Abstract: In this paper, we are concerned with backward stochastic differential equations (BSDE for short) of the following type: where q is a positive constant and [xi] is a random variable such that . We study the link between these BSDE and the associated Cauchy problem with terminal data g, where g=+[infinity] on a set of positive Lebesgue measure.

Keywords: Backward; stochastic; differential; equation; Non-integrable; data; Viscosity; solutions; of; partial; differential; equations (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (10)

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