BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness
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Publication:358147
DOI10.3150/12-BEJ445zbMath1306.60069arXiv1002.0175OpenAlexW3099885305MaRDI QIDQ358147
Patrick Cheridito, Mitja Stadje
Publication date: 16 August 2013
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1002.0175
robustnesscomparison theorembackward stochastic differential equationapproximation schemebackward stochastic difference equation
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