Stability of backward stochastic differential equations

Fabio Antonelli

Stochastic Processes and their Applications, 1996, vol. 62, issue 1, 103-114

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.

Keywords: Backward; stochastic; differential; equations; Stochastic; differential; utility; Stability (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (4)

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