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Limit behaviour of the minimal solution of a BSDE in the non Markovian setting

Published 7 Mar 2019 in math.PR | (1903.03464v1)

Abstract: 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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