This paper studies the stability of the solution of backward stochastic differential equations. The stability of the solution is here intended as robustness under small perturbations of the coefficients and of the boundary values. The work is suggested by the interest the results might have in finance theory.
Stability of Backward SDE's
ANTONELLI, FABIO
1996-01-01
Abstract
This paper studies the stability of the solution of backward stochastic differential equations. The stability of the solution is here intended as robustness under small perturbations of the coefficients and of the boundary values. The work is suggested by the interest the results might have in finance theory.File in questo prodotto:
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