A Note on BSDEs with singular coefficients
arXiv:1309.5071
Abstract
In this Note we study a class of BSDEs which admits a particular singularity in their driver. More precisely, we assume that the driver is not integrable and degenerates when approaching to the terminal time of the equation.
To appear in "Arbitrage, Credit and Informational Risks", Proceedings of the Sino-French Research Program in Financial Mathematics Conference, Beijing June 2013