Stability of backward stochastic differential equations

the general Lipschitz case

Journal article (2023)

Authors

A. Papapantoleon National Technical University of Athens, Applied Probability - EEMCS , Foundation for Research and Technology - Hellas (FORTH)
Dylan Possamaï ETH Zürich
Alexandros Saplaouras National Technical University of Athens
Research Group
Applied Probability (EEMCS) (TU Delft)
Copyright: © 2023 A. Papapantoleon, Dylan Possamaï, Alexandros Saplaouras
DOI: https://doi.org/10.1214/23-EJP939
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Published Date

2023

Language

English

Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Delft Institute of Applied Mathematics

Research Group

Applied Probability

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.