Research Information System
Alea (Rio de Janeiro), vol.19, no.2, pp.1185-1220, 2022 (SCI-Expanded)
© 2022, Alea (Rio de Janeiro).All Rights Reserved.We study a class of non-linear Backward stochastic differential equations (BSDE) with a superlinear driver process f adapted to a filtration F and over a random time interval [[0, S]] where S is a stopping time of F. The terminal condition ξ is allowed to take the value +∞, i.e., singular. We call a stopping time S solvable with respect to a given BSDE and filtration if the BSDE has a minimal supersolution with terminal value 1 at terminal time S. Our goal is to show existence of solutions to the BSDE for a range of singular terminal values under the assumption that S is solvable. We will do so by proving that the minimal supersolution to the BSDE is a solution, i.e., it is continuous at time S and attains the terminal value with probability 1. We consider three types of terminal values: 1) Markovian: i.e., ξ is of the form ξ = g(ΞS) where Ξ is a continuous Markovian diffusion process, S is a hitting time of Ξ and g is a deterministic function 2) terminal conditions of the form (Formula Presented) and 3) (Formula Presented) where Ƭ is another stopping time. For general ξ we prove that minimal supersolution has a limit at time S provided that F is left continuous at time S. Finally, we discuss the implications of our results about Markovian terminal conditions to the solution of non-linear elliptic PDE with singular boundary conditions