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2019-03-07
Limit behaviour of the minimal solution of a BSDE in the non Markovian setting
Dmytro MarushkevychAlexandre Popier
文献摘要
We use the functional It{^o} calculus to prove that the solution of a BSDE with singular terminal condition is continuous at the terminal time. Hence we extend known results for a non-Markovian terminal condition.
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