Stability of backward stochastic differential equations

Title

Stability of backward stochastic differential equations: the general Lipschitz case

 Author

Papapantoleon, A. (TU Delft Applied Probability; National Technical University of Athens; Foundation for Research and Technology - Hellas (FORTH)) ORCID 0000-0002-9504-2822
Possamaï, Dylan (ETH Zürich)
Saplaouras, Alexandros (National Technical University of Athens)

Date

2023

 Abstract

In this paper, we obtain stability results for backward stochastic differential equations with jumps (BSDEs) in a very general framework. More specifically, we consider a convergent sequence of standard data, each associated to their own filtration, and we prove that the associated sequence of (unique) solutions is also convergent. The current result extends earlier contributions in the literature of stability of BSDEs and unifies several frameworks for numerical approximations of BSDEs and their implementations.


 Subject

BSDE
nonlinear martingale representations
processes with jumps
random time horizon
stability
stochas-tically discontinuous martingales
stochastic Lipschitz generator

 To reference this document use:

http://resolver.tudelft.nl/uuid:3436c42b-024e-4a03-8609-9e35cebf3726

 DOI

https://doi.org/10.1214/23-EJP939

 ISSN

1083-6489

 Source

Electronic Journal of Probability, 28

 Part of collection

Institutional Repository

 Document type

journal article

 Rights

© 2023 A. Papapantoleon, Dylan Possamaï, Alexandros Saplaouras
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