Limit behaviour of the minimal solution of a BSDE in the non Markovian setting

Dmytro Marushkevych (1) , Alexandre Popier (1)

1 LMM - Laboratoire Manceau de Mathématiques

We use the functional Itô calculus to prove that the solution of a BSDE with singular terminal condition is continuous at the terminal time. Hence we extend known results for a non-Markovian terminal condition.

Domaines: Probabilités [math.PR]

Dmytro Marushkevych, Alexandre Popier. Limit behaviour of the minimal solution of a BSDE in the non Markovian setting. 2019. ⟨hal-02059902⟩