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2021 Backward stochastic differential equations with non-Markovian singular terminal conditions for general driver and filtration
Mahdi Ahmadi, Alexandre Popier, Ali Devin Sezer
Author Affiliations +
Electron. J. Probab. 26: 1-27 (2021). DOI: 10.1214/21-EJP619

Abstract

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 Rm{0}. We consider the following class of terminal conditions: ξ1=1{τ1T} where τ1 is any stopping time with a bounded density in a neighborhood of T and ξ2=1AT where At, t[0,T] is a decreasing sequence of events adapted to the filtration Ft that is continuous in probability at T (equivalently, AT={τ2>T} where τ2 is any stopping time such that P(τ2=T)=0). In this setting we prove that the minimal supersolutions of the BSDE are in fact solutions, i.e., they attain almost surely their terminal values. We note that the first exit time from a time varying domain of a d-dimensional diffusion process driven by the Brownian motion with strongly elliptic covariance matrix does have a continuous density. Therefore such exit times can be used as τ1 and τ2 to define the terminal conditions ξ1 and ξ2. The proof of existence of the density is based on the classical Green’s functions for the associated PDE.

Funding Statement

This work is supported by TUBITAK (The Scientific and Technological Research Council of Turkey) through project number 118F163. We are grateful for this support.

Citation

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Mahdi Ahmadi. Alexandre Popier. Ali Devin Sezer. "Backward stochastic differential equations with non-Markovian singular terminal conditions for general driver and filtration." Electron. J. Probab. 26 1 - 27, 2021. https://doi.org/10.1214/21-EJP619

Information

Received: 30 April 2020; Accepted: 29 March 2021; Published: 2021
First available in Project Euclid: 5 May 2021

Digital Object Identifier: 10.1214/21-EJP619

Subjects:
Primary: 60G40, 60G99, 60H99, 65M80

JOURNAL ARTICLE
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Vol.26 • 2021
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