Asymptotic approach for backward stochastic differential equation with singular terminal condition *

Paulwin Graewe (1) , Alexandre Popier (2)

1 HU Berlin - Humboldt-Universität zu Berlin = Humboldt University of Berlin = Université Humboldt de Berlin
2 LMM - Laboratoire Manceau de Mathématiques

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 behavior of Y close to the final time and enlarges the uniqueness result to a wider class of generators.

Mots clés: Backward stochastic differential equation; singular terminal condition; asymptotic approach; singular generator; asymp- totic approach

Domaines: Probabilités [math.PR]

Paulwin Graewe, Alexandre Popier. Asymptotic approach for backward stochastic differential equation with singular terminal condition *. 2020. ⟨hal-02152177v2⟩