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 termi...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.展开更多
文摘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.
