| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1157091 | Stochastic Processes and their Applications | 2014 | 43 Pages |
Abstract
In this paper, we are concerned with backward stochastic differential equations (BSDE for short) of the following type: Yt=ξ−∫tTYr|Yr|qdr−∫tTZrdBr, where qq is a positive constant and ξξ is a random variable such that P(ξ=+∞)>0P(ξ=+∞)>0. We study the link between these BSDE and the associated Cauchy problem with terminal data gg, where g=+∞g=+∞ on a set of positive Lebesgue measure.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
A. Popier,