Stability of backward stochastic differential equations
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Publication:1915848
DOI10.1016/0304-4149(95)00091-7zbMath0852.60066OpenAlexW1976745820MaRDI QIDQ1915848
Publication date: 8 December 1996
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4149(95)00091-7
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic stability in control theory (93E15)
Related Items (5)
Stochastic differential utility as the continuous-time limit of recursive utility ⋮ Backward nonlinear expectation equations ⋮ Optimal consumption and investment with Epstein-Zin recursive utility ⋮ Filtration stability of backward sde's ⋮ Stability in \(\mathbb D\) of martingales and backward equations under discretization of filtration
Cites Work
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- Optimal portfolio for a small investor in a market model with discontinuous prices
- Convergence in probability for perturbed stochastic integral equations
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- Existence of weak solutions for stochastic differential equations with driving semimartingales
- Adapted solution of a backward semilinear stochastic evolution equation
- Stochastic Differential Utility
- ? p stability of solutions of stochastic differential equations
- Backward Stochastic Differential Equations in Finance
- Quelques applications de la formule de changement de variables pour les semimartingales
- Convergence of stochastic processes
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