Filtration stability of backward sde's
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Publication:4946977
DOI10.1080/07362990008809652zbMath0953.60044OpenAlexW2019869923MaRDI QIDQ4946977
Fabio Antonelli, Arturo Kohatsu-Higa
Publication date: 23 March 2000
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990008809652
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Ordinary differential equations and systems with randomness (34F05)
Related Items (9)
Numerical method for backward stochastic differential equations ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations ⋮ Stability of solutions of BSDEs with random terminal time ⋮ On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights ⋮ Stability in \(\mathbb D\) of martingales and backward equations under discretization of filtration ⋮ Stability results for martingale representations: The general case ⋮ A new numerical method for 1-D backward stochastic differential equations without using conditional expectations ⋮ PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING
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- Adapted solution of a backward stochastic differential equation
- On tightness and stopping times
- Random time changes and convergence in distribution under the Meyer-Zheng conditions
- Weak limit theorems for stochastic integrals and stochastic differential equations
- Backward-forward stochastic differential equations
- Stability of backward stochastic differential equations
- Stochastic Differential Utility
- Convergence of stochastic processes
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