Stability of backward stochastic differential equations: the general Lipschitz case-Reference-Cited by-同舟云学术

Stability of backward stochastic differential equations: the general Lipschitz case

Published:2023-01-01 Issue:none Volume:28 Page:
ISSN:1083-6489
Container-title:Electronic Journal of Probability
language:
Short-container-title:Electron. J. Probab.

Author:

Papapantoleon Antonis¹,Possamaï Dylan²,Saplaouras Alexandros³

Affiliation:

1. Delft Institute of Applied Mathematics, TU Delft, 2628 Delft, The Netherlands & Department of Mathematics, NTUA, 15780 Athens, Greece & Institute of Applied and Computational Mathematics, FORTH, 70013 Heraklion, Greece

2. Department of Mathematics, ETH Zürich, Rämistrasse 101, 8092 Zürich, Switzerland

3. Department of Mathematics, NTUA, Zografou Campus, 15780 Athens, Greece

Publisher

Institute of Mathematical Statistics

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference94 articles.

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3. Julio Backhoff-Veraguas, Daniel Lacker, Ludovic Tangpi, et al. Nonexponential sanov and schilder theorems on wiener space: Bsdes, schrödinger problems and control. Annals of Applied Probability, 30(3):1321–1367, 2020.

4. V. Bally. Approximation scheme for solutions of BSDE. In N. El Karoui and L. Mazliak, editors, Backward stochastic differential equations, volume 364 of Pitman research notes in mathematics, pages 177–192. Longman, 1997.

5. C. Beck, W. E, and A. Jentzen. Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations. Journal of Nonlinear Science, 29(4):1563–1619, 2019.

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