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math.PR2024★ 1 cited
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-…
math.PR2024
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…