Stability and Markov property of forward backward minimal supersolutions

DOI10.1214/16-EJP4276MaRDI QIDQ303553zbMATHOpenAlexFDO

Authors Samuel Drapeau, Christoph Mainberger

Publication date 22 August 2016

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1503.00240

zbMATH Keywords

stabilitysupersolutionsforward-backward stochastic differential equationsMarkov propertyviscosity supersolutions

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Viscosity solutions to PDEs (35D40) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: We show stability and locality of the minimal supersolution of a forward backward stochastic differential equation with respect to the underlying forward process under weak assumptions on the generator. The forward process appears both in the generator and the terminal condition. Painlev'e-Kuratowski and Convex Epi-convergence are used to establish the stability. For Markovian forward processes the minimal supersolution is shown to have the Markov property. Furthermore, it is related to a time-shifted problem and identified as the unique minimal viscosity supersolution of a corresponding PDE.

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