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- W3030574927 abstract "Abstract We use the functional Itô calculus to prove that the solution of a BSDE with singular terminal condition verifies at the terminal time: $liminf _{tto T} Y(t) = xi = Y(T)$ <mml:math xmlns:mml=http://www.w3.org/1998/Math/MathML><mml:msub><mml:mrow><mml:mo>liminf</mml:mo></mml:mrow><mml:mrow><mml:mi>t</mml:mi><mml:mo>→</mml:mo><mml:mi>T</mml:mi></mml:mrow></mml:msub><mml:mi>Y</mml:mi><mml:mo>(</mml:mo><mml:mi>t</mml:mi><mml:mo>)</mml:mo><mml:mo>=</mml:mo><mml:mi>ξ</mml:mi><mml:mo>=</mml:mo><mml:mi>Y</mml:mi><mml:mo>(</mml:mo><mml:mi>T</mml:mi><mml:mo>)</mml:mo></mml:math> . Hence, we extend known results for a non-Markovian terminal condition." @default.
- W3030574927 created "2020-06-05" @default.
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- W3030574927 date "2020-02-19" @default.
- W3030574927 modified "2023-10-09" @default.
- W3030574927 title "Limit behaviour of the minimal solution of a BSDE with singular terminal condition in the non Markovian setting" @default.
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- W3030574927 doi "https://doi.org/10.1186/s41546-020-0043-5" @default.
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