BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness

DOI10.3150/12-BEJ445zbMath1306.60069arXiv1002.0175MaRDI 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

zbMATH Keywords

robustness; comparison theorem; backward stochastic differential equation; approximation scheme; backward stochastic difference equation

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

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