Continuity problem for singular BSDE with random terminal time

Alexandre Popier (1) , Sharoy Augustine Samuel (2) , Ali Devin Sezer (2)

1 LMM - Laboratoire Manceau de Mathématiques
2 METU - Department of Mathematics (METU)

We study a class of nonlinear BSDEs with a superlinear driver process f adapted to a filtration F and over a random time interval [[0, S]] where S is a stopping time of F. The terminal condition ξ is allowed to take the value +∞, i.e., singular. Our goal is to show existence of solutions to the BSDE in this setting. We will do so by proving that the minimal supersolution to the BSDE is a solution, i.e., attains the terminal values with probability 1. We consider three types of terminal values: 1) Markovian: i.e., ξ is of the form ξ = g(Ξ S) where Ξ is a continuous Markovian diffusion process and S is a hitting time of Ξ and g is a deterministic function 2) terminal conditions of the form ξ = ∞ · 1 {τ ≤S} and 3) ξ 2 = ∞ · 1 {τ >S} where τ is another stopping time. For general ξ we prove the minimal supersolution is continuous at time S provided that F is left continuous at time S. We call a stopping time S solvable with respect to a given BSDE and filtration if the BSDE has a minimal supersolution with terminal value ∞ at terminal time S. The concept of solvability plays a key role in many of the arguments. Finally, we discuss implications of our results on the Markovian terminal conditions to solution of nonlinear elliptic PDE with singular boundary conditions.

Mots clés: Backward stochastic differential equation; stopping time; singularity; continuity problem; Green's function

Domaines: Equations aux dérivées partielles [math.AP]; Probabilités [math.PR]

Alexandre Popier, Sharoy Augustine Samuel, Ali Devin Sezer. Continuity problem for singular BSDE with random terminal time. 2020. ⟨hal-02995123⟩