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, Antonis, Possamaï, Dylan, id_orcid:0 000-0002-9364-0124, Saplaouras, Alexandros |
| المصدر: | Electronic Journal of Probability, 28 |
| بيانات النشر: | Institute of Mathematical Statistics |
| سنة النشر: | 2023 |
| المجموعة: | ETH Zürich Research Collection |
| مصطلحات موضوعية: | BSDE, stability, nonlinear martingale representations, processes with jumps, stochastically discontinuous martingales, random time horizon, 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. ; ISSN:1083-6489 |
| نوع الوثيقة: | article in journal/newspaper |
| وصف الملف: | application/application/pdf |
| اللغة: | English |
| Relation: | info:eu-repo/semantics/altIdentifier/wos/000973790000005; http://hdl.handle.net/20.500.11850/611691 |
| DOI: | 10.3929/ethz-b-000611691 |
| الاتاحة: | https://hdl.handle.net/20.500.11850/611691 https://doi.org/10.3929/ethz-b-000611691 |
| Rights: | info:eu-repo/semantics/openAccess ; http://creativecommons.org/licenses/by/4.0/ ; Creative Commons Attribution 4.0 International |
| رقم الانضمام: | edsbas.6AE68DD5 |
| قاعدة البيانات: | BASE |
| DOI: | 10.3929/ethz-b-000611691 |
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