Limit behaviour of BSDE with jumps and with singular terminal condition

LUNAM Université, Université du Maine, Laboratoire Manceau de Mathématiques, Avenue O. Messiaen, 72085 Le Mans cedex 9, France.
alexandre.popier@univ-lemans.fr

Received: 13 January 2016
Revised: 28 September 2016
Accepted: 19 October 2016

Abstract

We study the behaviour at the terminal time T of the minimal solution of a backward stochastic differential equation when the terminal data can take the value + ∞ with positive probability. In a previous paper [T. Kruse and A. Popier, Stoch. Process. Appl. 126 (2016) 2554–2592], we have proved existence of this minimal solution (in a weak sense) in a quite general setting. But two questions arise in this context and were still open: is the solution right continuous with left limits on [0,T]? In other words does the solution have a left limit at time T? The second question is: is this limit equal to the terminal condition? In this paper, under additional conditions on the generator and the terminal condition, we give a positive answer to these two questions.