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| HAL: hal-00004726, version 1 |
| arXiv: math.PR/0504315 |
| Detailed view |  Export this paper |
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| Available versions: | v1 (2005-04-15) | v2 (2005-09-15) |
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| Stability of solutions of BSDEs with random terminal time |
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| Sandrine Toldo 1 |
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| (2005-04-15) |
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| 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 $(W^n)$ 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 $\tau$. |
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| 1: | Institut de Recherche Mathématique de Rennes (IRMAR) |
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CNRS : UMR6625 – Université de Rennes 1 – École normale supérieure de Cachan - ENS Cachan – Institut National des Sciences Appliquées (INSA) : - RENNES – Université de Rennes II - Haute Bretagne |
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| Subject | : | Mathematics/Probability |
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| Backward Stochastic Differential Equations (BSDE) – Stability of BSDEs – Weak convergence of filtrations – Stopping times |
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| hal-00004726, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00004726 | |
| oai:hal.archives-ouvertes.fr:hal-00004726 | |
| From: Sandrine Toldo | |
| Submitted on: Friday, 15 April 2005 11:34:27 | |
| Updated on: Friday, 15 April 2005 11:38:39 | |
