Backward Stochastic Differential Equations with Random Stopping Time and Singular Final Condition
نویسنده
چکیده
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 values in R ×Rd, of the BSDE
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تاریخ انتشار 2007