Limit behaviour of the minimal solution of a BSDE in the non Markovian setting
arXiv:1903.03464
Abstract
We use the functional It{ô} 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.
arXiv admin note: substantial text overlap with arXiv:1601.03186