Stability of backward stochastic differential equations
the general Lipschitz case
Antonis Papapantoleon (TU Delft - Applied Probability, National Technical University of Athens, Foundation for Research and Technology - Hellas (FORTH))
Dylan Possamaï (ETH Zürich)
Alexandros Saplaouras (National Technical University of Athens)
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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.
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