{"title":"具有随机终止时间的奇异BSDE的连续性问题","authors":"A. Popier, S. Samuel, A. Sezer","doi":"10.30757/alea.v19-49","DOIUrl":null,"url":null,"abstract":"We study a class of nonlinear BSDEs 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 $\\xi$ is allowed to take the value +$\\infty$, i.e., singular. Our goal is to show existence of solutions to the BSDE in this setting. We will do so by proving that the minimal supersolution to the BSDE is a solution, i.e., attains the terminal values with probability 1. We consider three types of terminal values: 1) Markovian: i.e., $\\xi$ is of the form $\\xi$ = g($\\Xi$ S) where $\\Xi$ is a continuous Markovian diffusion process and S is a hitting time of $\\Xi$ and g is a deterministic function 2) terminal conditions of the form $\\xi$ = $\\infty$ $\\times$ 1 {$\\tau$ $\\le$S} and 3) $\\xi$ 2 = $\\infty$ $\\times$ 1 {$\\tau$ >S} where $\\tau$ is another stopping time. For general $\\xi$ we prove the minimal supersolution is continuous at time S provided that F is left continuous at time S. 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 $\\infty$ at terminal time S. The concept of solvability plays a key role in many of the arguments. Finally, we discuss implications of our results on the Markovian terminal conditions to solution of nonlinear elliptic PDE with singular boundary conditions.","PeriodicalId":0,"journal":{"name":"","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Continuity problem for singular BSDE with random terminal time\",\"authors\":\"A. Popier, S. Samuel, A. Sezer\",\"doi\":\"10.30757/alea.v19-49\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We study a class of nonlinear BSDEs 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 $\\\\xi$ is allowed to take the value +$\\\\infty$, i.e., singular. Our goal is to show existence of solutions to the BSDE in this setting. We will do so by proving that the minimal supersolution to the BSDE is a solution, i.e., attains the terminal values with probability 1. We consider three types of terminal values: 1) Markovian: i.e., $\\\\xi$ is of the form $\\\\xi$ = g($\\\\Xi$ S) where $\\\\Xi$ is a continuous Markovian diffusion process and S is a hitting time of $\\\\Xi$ and g is a deterministic function 2) terminal conditions of the form $\\\\xi$ = $\\\\infty$ $\\\\times$ 1 {$\\\\tau$ $\\\\le$S} and 3) $\\\\xi$ 2 = $\\\\infty$ $\\\\times$ 1 {$\\\\tau$ >S} where $\\\\tau$ is another stopping time. For general $\\\\xi$ we prove the minimal supersolution is continuous at time S provided that F is left continuous at time S. 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 $\\\\infty$ at terminal time S. The concept of solvability plays a key role in many of the arguments. Finally, we discuss implications of our results on the Markovian terminal conditions to solution of nonlinear elliptic PDE with singular boundary conditions.\",\"PeriodicalId\":0,\"journal\":{\"name\":\"\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0,\"publicationDate\":\"2020-11-10\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.30757/alea.v19-49\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.30757/alea.v19-49","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Continuity problem for singular BSDE with random terminal time
We study a class of nonlinear BSDEs 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 $\xi$ is allowed to take the value +$\infty$, i.e., singular. Our goal is to show existence of solutions to the BSDE in this setting. We will do so by proving that the minimal supersolution to the BSDE is a solution, i.e., attains the terminal values with probability 1. We consider three types of terminal values: 1) Markovian: i.e., $\xi$ is of the form $\xi$ = g($\Xi$ S) where $\Xi$ is a continuous Markovian diffusion process and S is a hitting time of $\Xi$ and g is a deterministic function 2) terminal conditions of the form $\xi$ = $\infty$ $\times$ 1 {$\tau$ $\le$S} and 3) $\xi$ 2 = $\infty$ $\times$ 1 {$\tau$ >S} where $\tau$ is another stopping time. For general $\xi$ we prove the minimal supersolution is continuous at time S provided that F is left continuous at time S. 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 $\infty$ at terminal time S. The concept of solvability plays a key role in many of the arguments. Finally, we discuss implications of our results on the Markovian terminal conditions to solution of nonlinear elliptic PDE with singular boundary conditions.