arXiv subjects

Alexandros Saplaouras

Publications and source records attributed to Alexandros Saplaouras.

9 recordsLinked to original sources

arXiv2026

Aggregation of value processes for semi-martingale BSDEs with jumps

We construct a measurable aggregator for the value processes associated with stochastic control problems, where the criterion to optimise is given by solutions to semi-martingale backward stochastic differential equations (BSDEs) with jumps. The results can be applied to control problems where the triplet of semi-martingale characteristics is controlled in a possibly non-dominated case or where uncertainty about the characteristics is present in the optimisation. The construction also provides a time-consistent system of fully nonlinear conditional expectations on the Skorokhod space. We also construct an appropriate path-regularisation of the value function and prove a corresponding dynamic programming principle. The generality we seek allows for the treatment of controlled diffusions, pure-jump processes, and discrete-time processes in a unified setting.

math.PR↗

arXiv2025

Stability of backward propagation of chaos

The purpose of the present paper is to introduce and establish a notion of stability for the backward propagation of chaos with respect to (initial) data sets. Consider, for example, a sequence of discrete-time martingales converging to a continuous-time limit, and a system of mean-field BSDEs that satisfies the backward propagation of chaos, i.e. converges to a sequence of i.i.d. McKean-Vlasov BSDEs. Then, we say that the backward propagation of chaos is stable if the system of mean-field BSDEs driven by the discrete-time martingales converges to the sequence of McKean-Vlasov BSDEs driven by the continuous-time limit. We consider the convergence scheme of the backward propagation of chaos as the image of the corresponding data set under which this scheme is established. Then, using an appropriate notion of convergence for data sets, we are able to show a variety of continuity properties for this functional point of view. Along the way, we also provide stability results for mean-field and McKean-Vlasov BSDEs, which are of interest in their own right, for numerical approximations of these equations.

math.PR↗

arXiv2025

Mind the jumps: when 2BSDEs meet semi-martingales

We construct an aggregated version of the value processes associated with stochastic control problems, where the criterion to optimise is given by solutions to semi-martingale backward stochastic differential equations (BSDEs). The results can be applied to control problems where the triplet of semi-martingale characteristics is controlled in a possibly non-dominated case or where uncertainty about the characteristics is present in the optimisation. The construction also provides a time-consistent system of fully nonlinear conditional expectations on the Skorokhod space. We find the semi-martingale decomposition of the value function and characterise it as the solution to a semi-martingale second-order BSDE. The generality we seek allows for the treatment of controlled diffusions, pure-jump processes, and discrete-time processes in a unified setting.

math.PR↗

arXiv2024

Existence, uniqueness and propagation of chaos for general McKean-Vlasov and mean-field BSDEs

We consider backward stochastic differential equations (BSDEs) with mean-field and McKean-Vlasov interactions in their generators in a general setting, where the drivers are square-integrable martingales, with a focus on the independent increments case, and the filtrations are (possibly) stochastically discontinuous. In other words, we consider discrete- and continuous-time systems of mean-field BSDEs and McKean-Vlasov BSDEs in a unified setting. We provide existence and uniqueness results for these BSDEs using new a priori estimates that utilize the stochastic exponential. Then, we provide propagation of chaos results for systems of particles that satisfy BSDEs, i.e. we show that the asymptotic behaviour of the solutions of mean-field systems of BSDEs, as the multitude of the systems grows to infinity, converges to I.I.D solutions of McKean-Vlasov BSDEs. We introduce a new technique for showing the backward propagation of chaos, that makes repeated use of the a priori estimates, inequalities for the Wasserstein distance and the ``conservation of solutions'' under different filtrations, and does not demand the solutions of the mean field systems to be exchangeable or symmetric. Finally, we deduce convergence rates for the propagation of chaos, under advanced integrability conditions on the solutions of the BSDEs.

math.PR↗

arXiv2024

A general and sharp regularity condition for integro-differential equations with non-dominated measures

The aim of this work is to present the regularity condition (also known in the literature as structure condition) an integro-differential operator may satisfy in order for the domination principle to hold for (sub-,super-) solutions of polynomial growth. More precisely, the framework presented in Hollender [13], in which power functions are used in order to determine the integrability conditions, is weakened by substituting the power functions with Young functions. The use of Young functions allows for sharp integrability conditions, which are crucial when one deals with limit theorems. As an immediate application, it is considered the case of parabolic Hamilton-Jacobi-Bellman (HJB) operators, for which the regularity condition is satisfied and, consequently, the comparison principle as well. The parabolic HJB operator presented in this work can be associated to second-order (decoupled) forward-backward stochastic differential equations with jumps.

math.AP↗

arXiv2024

Convergence rates for Backward SDEs driven by Lévy processes

We consider Lévy processes that are approximated by compound Poisson processes and, correspondingly, BSDEs driven by Lévy processes that are approximated by BSDEs driven by their compound Poisson approximations. We are interested in the rate of convergence of the approximate BSDEs to the ones driven by the Lévy processes. The rate of convergence of the Lévy processes depends on the Blumenthal--Getoor index of the process. We derive the rate of convergence for the BSDEs in the $\mathbb L^2$-norm and in the Wasserstein distance, and show that, in both cases, this equals the rate of convergence of the corresponding Lévy process, and thus is optimal.

math.PR↗

arXiv2023

Stability of backward stochastic differential equations: the general case

In this paper, we obtain stability results for backward stochastic differential equations with jumps (BSDEs) in a very general framework. More specifically, we consider a convergent sequence of standard data, each associated to their own filtration, and we prove that the associated sequence of (unique) solutions is also convergent. The current result extends earlier contributions in the literature of stability of BSDEs and unifies several frameworks for numerical approximations of BSDEs and their implementations.

math.PR↗

arXiv2019

Stability results for martingale representations: the general case

In this paper, we obtain stability results for martingale representations in a very general framework. More specifically, we consider a sequence of martingales each adapted to its own filtration, and a sequence of random variables measurable with respect to those filtrations. We assume that the terminal values of the martingales and the associated filtrations converge in the extended sense, and that the limiting martingale is quasi--left--continuous and admits the predictable representation property. Then, we prove that each component in the martingale representation of the sequence converges to the corresponding component of the martingale representation of the limiting random variable relative to the limiting filtration, under the Skorokhod topology. This extends in several directions earlier contributions in the literature, and has applications to stability results for backward SDEs with jumps and to discretisation schemes for stochastic systems.

math.PR↗

arXiv2018

Existence and uniqueness results for BSDEs with jumps: the whole nine yards

This paper is devoted to obtaining a wellposedness result for multidimensional BSDEs with possibly unbounded random time horizon and driven by a general martingale in a filtration only assumed to satisfy the usual hypotheses, i.e. the filtration may be stochastically discontinuous. We show that for stochastic Lipschitz generators and unbounded, possibly infinite, time horizon, these equations admit a unique solution in appropriately weighted spaces. Our result allows in particular to obtain a wellposedness result for BSDEs driven by discrete--time approximations of general martingales.

math.PR↗