A Note on BSDEs with singular driver coefficients

Jeanblanc, Monique; Réveillac, Anthony

Jeanblanc, Monique; Réveillac, Anthony (2014), A Note on BSDEs with singular driver coefficients, in Jiao, Ying; Jeanblanc, Monique; Hillairet, Caroline, Arbitrage, Credit and Informational Risks, World Scientific. http://dx.doi.org/10.1142/9789814602075_0010

Type

Chapitre d'ouvrage

External document link

http://hal.archives-ouvertes.fr/hal-00863893

Date

2014

Book title

Arbitrage, Credit and Informational Risks

Book author

Jiao, Ying; Jeanblanc, Monique; Hillairet, Caroline

Publisher

World Scientific

Series title

Peking University Series in Mathematics

Series number

vol 5

ISBN

978-981-4602-06-8

Number of pages

276

Abstract (EN)

In this Note we study a class of BSDEs which admits a particular singularity in their driver. More precisely, we assume that the driver is not integrable and degenerates when approaching to the terminal time of the equation.

Subjects / Keywords

Backward Stochastic Differential Equations