{"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":49244,"journal":{"name":"Alea-Latin American Journal of Probability and Mathematical Statistics","volume":" ","pages":""},"PeriodicalIF":0.6000,"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\":49244,\"journal\":{\"name\":\"Alea-Latin American Journal of Probability and Mathematical Statistics\",\"volume\":\" \",\"pages\":\"\"},\"PeriodicalIF\":0.6000,\"publicationDate\":\"2020-11-10\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Alea-Latin American Journal of Probability and Mathematical Statistics\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.30757/alea.v19-49\",\"RegionNum\":4,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Alea-Latin American Journal of Probability and Mathematical Statistics","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.30757/alea.v19-49","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"STATISTICS & PROBABILITY","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.
期刊介绍:
ALEA publishes research articles in probability theory, stochastic processes, mathematical statistics, and their applications. It publishes also review articles of subjects which developed considerably in recent years. All articles submitted go through a rigorous refereeing process by peers and are published immediately after accepted.
ALEA is an electronic journal of the Latin-american probability and statistical community which provides open access to all of its content and uses only free programs. Authors are allowed to deposit their published article into their institutional repository, freely and with no embargo, as long as they acknowledge the source of the paper.
ALEA is affiliated with the Institute of Mathematical Statistics.