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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.
We solve a class of BSDE with a power function $f(y) = y^q$, $q > 1$, driving its drift and with the terminal boundary condition $ xi = infty cdot mathbf{1}_{B(m,r)^c}$ (for which $q > 2$ is assumed) or $ xi = infty cdot mathbf{1}_{B(m,r)}$, where $B
We consider a class of Backward Stochastic Differential Equations with superlinear driver process $f$ adapted to a filtration supporting at least a $d$ dimensional Brownian motion and a Poisson random measure on ${mathbb R}^m- {0}.$ We consider the f
In this paper, we consider the backward stochastic differential equation (BSDE) with generator $f(y)|z|^2,$ where the function $f$ is defined on an open interval $D$ and locally integrable. The existence and uniqueness of bounded solutions and $L^p(p
Mathematical mean-field approaches play an important role in different fields of Physics and Chemistry, but have found in recent works also their application in Economics, Finance and Game Theory. The objective of our paper is to investigate a specia
In this paper we discuss new types of differential equations which we call anticipated backward stochastic differential equations (anticipated BSDEs). In these equations the generator includes not only the values of solutions of the present but also