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;
2000-01-01
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 agentFile in questo prodotto:
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