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Asymptotic approach for backward stochastic differential equation with singular terminal condition

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  • Graewe, Paulwin
  • Popier, Alexandre

Abstract

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 behaviour of Y close to the final time and enlarges the uniqueness result to a wider class of generators.

Suggested Citation

  • Graewe, Paulwin & Popier, Alexandre, 2021. "Asymptotic approach for backward stochastic differential equation with singular terminal condition," Stochastic Processes and their Applications, Elsevier, vol. 133(C), pages 247-277.
    • Handle: RePEc:eee:spapps:v:133:y:2021:i:c:p:247-277
    DOI: 10.1016/j.spa.2020.12.004
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    References listed on IDEAS

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    1. Popier, A., 2006. "Backward stochastic differential equations with singular terminal condition," Stochastic Processes and their Applications, Elsevier, vol. 116(12), pages 2014-2056, December.
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