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


الملخص بالإنكليزية

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.

تحميل البحث