Academic Journal
Stability of backward stochastic differential equations: the general Lipschitz case
| العنوان: | Stability of backward stochastic differential equations: the general Lipschitz case |
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| المؤلفون: | Papapantoleon, A. (author), Possamaï, Dylan (author), Saplaouras, Alexandros (author) |
| سنة النشر: | 2023 |
| المجموعة: | Delft University of Technology: Institutional Repository |
| مصطلحات موضوعية: | BSDE, nonlinear martingale representations, processes with jumps, random time horizon, stability, stochas-tically discontinuous martingales, stochastic Lipschitz generator |
| الوصف: | 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. ; Applied Probability |
| نوع الوثيقة: | article in journal/newspaper |
| اللغة: | English |
| Relation: | http://www.scopus.com/inward/record.url?scp=85153847946&partnerID=8YFLogxK; Electronic Journal of Probability--1083-6489--a155fb9e-1fcc-4efe-a313-71dd2d3c44b6; http://resolver.tudelft.nl/uuid:3436c42b-024e-4a03-8609-9e35cebf3726; https://doi.org/10.1214/23-EJP939 |
| DOI: | 10.1214/23-EJP939 |
| الاتاحة: | http://resolver.tudelft.nl/uuid:3436c42b-024e-4a03-8609-9e35cebf3726 https://doi.org/10.1214/23-EJP939 |
| Rights: | © 2023 A. Papapantoleon, Dylan Possamaï, Alexandros Saplaouras |
| رقم الانضمام: | edsbas.110372C4 |
| قاعدة البيانات: | BASE |
| DOI: | 10.1214/23-EJP939 |
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