Stability of backward stochastic differential equations: the general case

Antonis Papapantoleon, Dylan Possama\"i and Alexandros Saplaouras

Papers from arXiv.org

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.

Date: 2021-07, Revised 2023-04
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2107.11048

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