42 citations · 55 across the 8 of their papers we have counts for
9 papers
Aggregation of value processes for semi-martingale BSDEs with jumps
Dylan Possamaï, Marco Rodrigues, Alexandros Saplaouras
We construct a measurable aggregator for the value processes associated with stochastic control problems, where the criterion to optimise is given by solutions to semi-martingale b…
Mind the jumps: well-posedness of semi-martingale 2BSDEs
Dylan Possamaï, Marco Rodrigues, Alexandros Saplaouras
We develop a well-posedness theory for second-order backward stochastic differential equations (2BSDEs) with jumps. This work covers two complementary notions of solution: an extri…
Stability of backward propagation of chaos
Antonis Papapantoleon, Alexandros Saplaouras, Stefanos Theodorakopoulos
The purpose of the present paper is to introduce and establish a notion of stability for the backward propagation of chaos with respect to (initial) data sets. Consider, for exampl…
Existence, uniqueness and propagation of chaos for general McKean-Vlasov and mean-field BSDEs
Antonis Papapantoleon, Alexandros Saplaouras, Stefanos Theodorakopoulos
We consider backward stochastic differential equations (BSDEs) with mean-field and McKean-Vlasov interaction in their generators in a general setting, where the drivers are square-…
A general and sharp regularity condition for integro-differential equations with non-dominated measures
Alexandros Saplaouras
The aim of this work is to present the regularity condition (also known in the literature as structure condition) an integro-differential operator may satisfy in order for the domi…
Convergence rates for Backward SDEs driven by Lévy processes
Chenguang Liu, Antonis Papapantoleon, Alexandros Saplaouras
We consider Lévy processes that are approximated by compound Poisson processes and, correspondingly, BSDEs driven by Lévy processes that are approximated by BSDEs driven by their c…
Stability of backward stochastic differential equations: the general case
Antonis Papapantoleon, Dylan Possamaï, Alexandros Saplaouras
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 convergen…
Stability results for martingale representations: the general case
Antonis Papapantoleon, Dylan Possamai, Alexandros Saplaouras
In this paper, we obtain stability results for martingale representations in a very general framework. More specifically, we consider a sequence of martingales each adapted to its…
Existence and uniqueness results for BSDEs with jumps: the whole nine yards
Antonis Papapantoleon, Dylan Possamaï, Alexandros Saplaouras
This paper is devoted to obtaining a wellposedness result for multidimensional BSDEs with possibly unbounded random time horizon and driven by a general martingale in a filtration…