Sensitivity Analysis of Distributionally Robust BSDEs and RBSDEs

ABSTRACT We examine the sensitivity properties of backward stochastic differential equations and reflected backward stochastic differential equations, which naturally arise in the context of optimal control and optimal stopping problems. Motivated by sensitivity analysis questions in distributionally robust optimization (DRO) control and optimal stopping problems, we establish explicit formulas for the corresponding sensitivities under drift perturbations of a reference measure. Our work is closely related to Bartl et al. In contrast to the existing literature, our analysis is carried out within a general non‐Markovian framework.

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Journal
Mathematical Finance
Published
2026-09-14
DOI
https://doi.org/10.1111/mafi.70056
Primary Topic
Stochastic processes and financial applications
Type
article
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article

Sensitivity Analysis of Distributionally Robust BSDEs and RBSDEs

Compoint Arthur, Touzi Nizar
Mathematical Finance
Stochastic processes and financial applications
article

Sensitivity Analysis of Distributionally Robust BSDEs and RBSDEs

Compoint Arthur, Touzi Nizar
article en

Abstract

ABSTRACT We examine the sensitivity properties of backward stochastic differential equations and reflected backward stochastic differential equations, which naturally arise in the context of optimal control and optimal stopping problems. Motivated by sensitivity analysis questions in distributionally robust optimization (DRO) control and optimal stopping problems, we establish explicit formulas for the corresponding sensitivities under drift perturbations of a reference measure. Our work is closely related to Bartl et al. In contrast to the existing literature, our analysis is carried out within a general non‐Markovian framework.

Mathematical Finance
École Polytechnique (FR), City University of New York (US)
Openalex Percentile: Top 98%
Stochastic processes and financial applications
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