A limit theorem for solutions to BSDEs in the space of processes
type: Item
instance of: scholarly article
title: A limit theorem for solutions to BSDEs in the space of processes
zbMATH Open document ID: 1144.60037
author: Shengjun Fan
author: Jianhua Hu
published in: Statistics \& Probability Letters
publication date: 2008-06-11T00:00:00Z
review text: 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.
reviewed by: Henri Schurz
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60F25
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 5287923
zbMATH Keywords: backward stochastic differential equations
zbMATH Keywords: limit theorems
zbMATH Keywords: \(L^p\)-limits
MaRDI profile type: Publication
full work available at URL: j.spl.2007.09.062
OpenAlex ID: W2054276304
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DOI: 10.1016/J.SPL.2007.09.062
description: scientific article; zbMATH DE number 5287923