BSDEs with singular terminal condition and control problems with constraints
AbstractWe provide a probabilistic solution of a not necessarily Markovian control problem with a state constraint by means of a Backward Stochastic Differential Equation (BSDE). The novelty of our solution approach is that the BSDE possesses a singular terminal condition. We prove that a solution of the BSDE exists, thus partly generalizing existence results obtained by Popier in  and . We perform a verification and discuss special cases for which the control problem has explicit solutions.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1305.6541.
Date of creation: May 2013
Date of revision: Jun 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-04 (All new papers)
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- Ulrich Horst & Jinniao Qiu & Qi Zhang, 2014. "A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition," Papers 1407.0108, arXiv.org.
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