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BSDEs with singular terminal condition and control problems with constraints

Listed author(s):
  • Stefan Ankirchner
  • Monique Jeanblanc
  • Thomas Kruse
Registered author(s):

    We 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 [7] and [8]. We perform a verification and discuss special cases for which the control problem has explicit solutions.

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    Paper provided by in its series Papers with number 1305.6541.

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    Date of creation: May 2013
    Date of revision: Jun 2013
    Handle: RePEc:arx:papers:1305.6541
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