Stability of backward stochastic differential equations: the general case
Probability
2023-04-06 v2 Optimization and Control
Mathematical Finance
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.
Keywords
Cite
@article{arxiv.2107.11048,
title = {Stability of backward stochastic differential equations: the general case},
author = {Antonis Papapantoleon and Dylan Possamaï and Alexandros Saplaouras},
journal= {arXiv preprint arXiv:2107.11048},
year = {2023}
}
Comments
45 pages, final version, forthcoming in the Electronic Journal of Probability