Limit behaviour of the minimal solution of a BSDE with jumps and with singular terminal condition
نویسنده
چکیده
We study the behaviour at the terminal time T of the minimal solution of a backward stochastic differential equation when the terminal data can take the value +∞ with positive probability. In a previous paper [15], we have proved existence of this minimal solution (in a weak sense) in a quite general setting. But two questions arise in this context and were still open: is the solution right continuous with left limits on [0, T ]? In other words does the solution have a left limit at time T ? The second question is: is this limit equal to the terminal condition? In this paper, under additional conditions on the generator and the terminal condition, we give a positive answer to these two questions. AMS class: 60G99, 60H99, 60J15.
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