Asymptotic approach for backward stochastic differential equation with singular terminal condition

Paulwin Graewe and Alexandre Popier

Stochastic Processes and their Applications, 2021, vol. 133, issue C, 247-277

Abstract: In this paper, we provide a one-to-one correspondence between the solution Y of a BSDE with singular terminal condition and the solution H of a BSDE with singular generator. This result provides the precise asymptotic behaviour of Y close to the final time and enlarges the uniqueness result to a wider class of generators.

Keywords: Backward stochastic differential equation; Singular terminal condition; Asymptotic approach; Singular generator (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.spa.2020.12.004

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