{"paper":{"title":"BS\\Delta Es and BSDEs with non-Lipschitz drivers: Comparison, convergence and robustness","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.ST","stat.TH"],"primary_cat":"math.PR","authors_text":"Mitja Stadje, Patrick Cheridito","submitted_at":"2010-02-01T03:02:17Z","abstract_excerpt":"We provide existence results and comparison principles for solutions of backward stochastic difference equations (BS$\\Delta$Es) and then prove convergence of these to solutions of backward stochastic differential equations (BSDEs) when the mesh size of the time-discretizaton goes to zero. The BS$\\Delta$Es and BSDEs are governed by drivers $f^N(t,\\omega,y,z)$ and $f(t,\\omega,y,z),$ respectively. The new feature of this paper is that they may be non-Lipschitz in z. For the convergence results it is assumed that the BS$\\Delta$Es are based on d-dimensional random walks $W^N$ approximating the d-di"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1002.0175","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}