Stability of backward stochastic differential equations: the general case

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.

45 pages, final version, forthcoming in the Electronic Journal of Probability

References in corpus (4)

• Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs
• Numerical simulation of BSDEs using empirical regression methods: theory and practice
• Neural networks-based algorithms for stochastic control and PDEs in finance
• Quasi-Regression Monte-Carlo scheme for semi-linear PDEs and BSDEs with large scale parallelization on GPUs