Show/Hide Menu
Hide/Show Apps
anonymousUser
Logout
Türkçe
Türkçe
Search
Search
Login
Login
OpenMETU
OpenMETU
About
About
Open Science Policy
Open Science Policy
Communities & Collections
Communities & Collections
Help
Help
Frequently Asked Questions
Frequently Asked Questions
Videos
Videos
Thesis submission
Thesis submission
Publication submission with DOI
Publication submission with DOI
Publication submission
Publication submission
Contact us
Contact us
Backward stochastic differential equations with non-Markovian singular terminal values
Download
index.pdf
Date
2019-04-01
Author
Sezer, Ali Devin
Kruse, Thomas
Popier, Alexandre
Metadata
Show full item record
This work is licensed under a
Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License
.
Item Usage Stats
9
views
6
downloads
Cite This
We solve a class of BSDE with a power function f (y) = y(q), q > 1, driving its drift and with the terminal boundary condition xi = infinity . 1( B(m,r)c )(for which q > 2 is assumed) or xi = infinity . 1B(m,r), where B(m, r) is the ball in the path space C([0,T]) of the underlying Brownian motion centered at the constant function m and radius r. The solution involves the derivation and solution of a related heat equation in which f serves as a reaction term and which is accompanied by singular and discontinuous Dirichlet boundary conditions. Although the solution of the heat equation is discontinuous at the corners of the domain, the BSDE has continuous sample paths with the prescribed terminal value.
Subject Keywords
Backward stochastic differential equations
,
Reaction-diffusion equations
,
Singularity
,
Non-Markovian terminal conditions
URI
https://hdl.handle.net/11511/31924
Journal
STOCHASTICS AND DYNAMICS
DOI
https://doi.org/10.1142/s0219493719500060
Collections
Graduate School of Applied Mathematics, Article
Citation Formats
IEEE
ACM
APA
CHICAGO
MLA
BibTeX
A. D. Sezer, T. Kruse, and A. Popier, “Backward stochastic differential equations with non-Markovian singular terminal values,”
STOCHASTICS AND DYNAMICS
, vol. 19, no. 2, pp. 0–0, 2019, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/31924.