Filtration stability of backward sde's (Q4946977)
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scientific article; zbMATH DE number 1423270
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| English | Filtration stability of backward sde's |
scientific article; zbMATH DE number 1423270 |
Statements
Filtration stability of backward sde's (English)
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23 March 2000
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backward stochastic differential equations
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stochastic differential utility
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stability
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0.8107555508613586
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0.8037790060043335
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0.8036863207817078
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0.8031125664710999
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0.7846083641052246
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This paper is devoted to a study of the solution of backward stochastic differential equations under small perturbations of the underlying filtration. Two notions of convergence of filtrations are defined, and the relevance of this work to finance is discussed.
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