Backward stochastic differential equations with singular terminal condition
نویسندگان
چکیده
منابع مشابه
Backward Stochastic Differential Equations with Random Stopping Time and Singular Final Condition
Introduction. Let (Ω,F ,P) be a probability space, B = (Bt)t≥0 a Brownian motion defined on this space, with values in Rd. (Ft)t≥0 is the standard filtration of the Brownian motion. Also given are τ a {Ft}-stopping time, ξ a real, Fτ -measurable random variable, called the final condition, and f :Ω× R+ × R×Rd → R the generator. We wish to find a progressively measurable solution (Y,Z), with val...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2006
ISSN: 0304-4149
DOI: 10.1016/j.spa.2006.05.012