Antonis Papapantoleon, Dylan Possamaï, Alexandros Saplaouras
Published 2021-07-23Version 1
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.
Backward stochastic differential equations under super linear G-expectation and associated Hamilton-Jacobi-Bellman equations
Multilevel approximation of backward stochastic differential equations
Backward Stochastic Differential Equations (BSDEs) Using Infinite-dimensional Martingales with Subdifferential Operator
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