Stability in \(\mathbb D\) of martingales and backward equations under discretization of filtration

DOI10.1016/S0304-4149(98)00013-1zbMath0932.60047OpenAlexW1996987276MaRDI QIDQ1805768

Jean Mémin, François Coquet, Vigirdas Mackevičius

Publication date: 18 November 1999

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(98)00013-1

zbMATH Keywords

martingalesSkorokhod topologybackward equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

Related Items (16)

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Cites Work

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• Tightness criteria for laws of semimartingales
• Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
• Weak limit theorems for stochastic integrals and stochastic differential equations
• Stability of backward stochastic differential equations
• Filtration stability of backward sde's

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