Stability of solutions of BSDEs with random terminal time. (English) Zbl 1185.60064
Summary: 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 \((Wn)\) is a sequence of scaled random walks or a sequence of martingales that converges to a Brownian motion \(W\) and if \((\tau^n)\) 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 \(\tau\).
MSC:
| 60H10 | Stochastic ordinary differential equations (aspects of stochastic analysis) |
| 60F05 | Central limit and other weak theorems |
| 60G40 | Stopping times; optimal stopping problems; gambling theory |
Keywords:
backward stochastic differential equations (BSDE); stability of BSDEs; weak convergence of filtrations; stopping timesReferences:
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