Backward stochastic differential equations with singular terminal condition

[摘要] In this paper, we are concerned with backward stochastic differential equations (BSDE for short) of the following type: [GRAPHICS] where q is a positive constant and is a random variable such that P(xi = +infinity) > 0. We study the link between these BSDE and the associated Cauchy problem with terminal data g, where g = +infinity on a set of positive Lebesgue measure. (c) 2006 Elsevier B.V. All rights reserved.

[发布日期] 2006-12-01

[关键词] backward stochastic differential equation;non-integrable data;viscosity solutions of partial differential equations