A limit theorem for solutions to BSDEs in the space of processes
Consider stochastic differential equations (SDEs) and backward stochastic differential equations (BSDEs) introduced by Peng and coauthors. An \(L^p\)-type limit theorem for solutions to BSDEs with its terminal data being solutions of SDEs is obtained and proved. The main idea is based on several results of L. Jiang (2005--2007) for limit theorems in the space of \(L^p\)-integrable random variables.
backward stochastic differential equations
scientific article; zbMATH DE number 5287923