Stability of solutions of BSDEs with random terminal time

Toldo, Sandrine 

ESAIM: Probability and Statistics, Tome 10 (2006), pp. 141-163

Résumé

In this paper, we study the stability of the solutions of Backward Stochastic Differential Equations (BSDE for short) with an almost surely finite random terminal time. More precisely, we are going to show that if $\left(W^n\right)$ is a sequence of scaled random walks or a sequence of martingales that converges to a brownian motion $W$ and if $\left({\tau }^n\right)$ is a sequence of stopping times that converges to a stopping time $\tau$, then the solution of the BSDE driven by $W^n$ with random terminal time ${\tau }^n$ converges to the solution of the BSDE driven by $W$ with random terminal time $\tau$.

Détail

DOI : 10.1051/ps:2006006

Classification : 60H10, 60Fxx, 60G40
Keywords: backward stochastic differential equations (BSDE), stability of BSDEs, weak convergence of filtrations, stopping times