This paper studies the stability of the solution of backward stochastic differ­ential equations under small perturbations of the underlying filtration. The problem is interesting from the mathematical point of view, but also for its possible applications in Finance Theory, as it might represent a model to describe approximate information, inside or delayed information for an economic agent

Filtration Stability of BSDE's

ANTONELLI, FABIO;
2000

Abstract

This paper studies the stability of the solution of backward stochastic differ­ential equations under small perturbations of the underlying filtration. The problem is interesting from the mathematical point of view, but also for its possible applications in Finance Theory, as it might represent a model to describe approximate information, inside or delayed information for an economic agent
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11697/10599
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