Filtration stability of backward sde's

DOI10.1080/07362990008809652MaRDI QIDQ4946977zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

backward stochastic differential equationsstabilitystochastic differential utility

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• Adapted solution of a backward stochastic differential equation
• Backward-forward stochastic differential equations
• Convergence of stochastic processes
• scientific article; zbMATH DE number 4034749 (Why is no real title available?)
• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• On tightness and stopping times
• Random time changes and convergence in distribution under the Meyer-Zheng conditions
• Stability of backward stochastic differential equations
• Stochastic Differential Utility
• Weak limit theorems for stochastic integrals and stochastic differential equations

Cited in

(15)

• Stability in D of martingales and backward equations under discretization of filtration
• Numerical method for backward stochastic differential equations
• Well-posedness of backward stochastic differential equations with general filtration
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• Discretization of backward semilinear stochastic evolution equations
• BSDEs and enlargement of filtration
• Stability results for martingale representations: the general case
• Progressive filtration expansions via a process, with applications to insider trading
• Stability of solutions of BSDEs with random terminal time
• Numerical methods for backward stochastic differential equations: a survey
• Stability of backward stochastic differential equations: the general Lipschitz case
• Semimartingale dynamics for a backward exchange rate process
• Equilibrium with heterogeneous information flows
• A new numerical method for 1-D backward stochastic differential equations without using conditional expectations
• On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights

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