Backward stochastic differential equations with random stopping time and singular final condition
Popier, A.
Ann. Probab., Tome 35 (2007) no. 1, p. 1071-1117 / Harvested from Project Euclid
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In this paper we are concerned with one-dimensional backward stochastic differential equations (BSDE in short) of the following type: ¶ Yt=ξ−∫t∧ττYr|Yr|q dr−∫t∧ττZr dBr,  t≥0, ¶ where τ is a stopping time, q is a positive constant and ξ is a ℱτ-measurable random variable such that P(ξ=+∞)>0. We study the link between these BSDE and the Dirichlet problem on a domain D⊂ℝd and with boundary condition g, with g=+∞ on a set of positive Lebesgue measure. ¶ We also extend our results for more general BSDE.
Publié le : 2007-05-14
Classification:  Backward SDE,  nonintegrable data,  60H10,  60G40,  35J60,  49L25,  35J65 
@article{1178804323,
     author = {Popier, A.},
     title = {Backward stochastic differential equations with random stopping time and singular final condition},
     journal = {Ann. Probab.},
     volume = {35},
     number = {1},
     year = {2007},
     pages = { 1071-1117},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1178804323}
}

Popier, A. Backward stochastic differential equations with random stopping time and singular final condition. Ann. Probab., Tome 35 (2007) no. 1, pp.  1071-1117. http://gdmltest.u-ga.fr/item/1178804323/