Stability of solutions of BSDEs with random terminal time

DOI10.1051/ps:2006006zbMath1185.60064arXivmath/0405494OpenAlexW2950467837MaRDI QIDQ5429571

Sandrine Toldo

Publication date: 30 November 2007

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0405494

zbMATH Keywords

stability of BSDEsweak convergence of filtrationsstopping timesbackward stochastic differential equations (BSDE)

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (7)

BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Stability of backward stochastic differential equations: the general Lipschitz case ⋮ A framework of BSDEs with stochastic Lipschitz coefficients ⋮ Corrigendum to “Stability of solutions of BSDEs with random terminal time” ⋮ Mean square rate of convergence for random walk approximation of forward-backward SDEs ⋮ BSDEs of counterparty risk

Cites Work

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• Corrigendum to ``Stability in \(\mathbb D\) of martingales and backward equations under discretization of filtration
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• Numerical method for backward stochastic differential equations
• Convergence in distribution and Skorokhod convergence for the general theory of processes
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• From Brownian Motion to Schrödinger’s Equation
• BSDE<scp>s</scp> with a random terminal time driven by a monotone generator and their links with PDE<scp>s</scp>
• Filtration stability of backward sde's
• Donsker-type theorem for BSDEs

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