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Numerical methods and programming, 2003, Volume 4, Issue 1, Pages 327–335 (Mi vmp727)  
On stability of the solution to a backward stochastic differential equation

A. V. Zakharov

Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics
Full-text PDF (168 kB)
Abstract: A theorem on stability of the solution to a backward stochastic differential equation is formulated and proved. This theorem is used to justify the convergence of an approximate method for solving such equations. The work was supported by the A.M. Lyapunov French-Russian Institute for Applied Mathematics and Informatics (grant 02-01).
Keywords: stability of solution, backward stochastic differential equations, numerical methods, financial mathematics.
UDC: 519.213
Language: Russian
Citation: A. V. Zakharov, “On stability of the solution to a backward stochastic differential equation”, Num. Meth. Prog., 4:1 (2003), 327–335
Citation in format AMSBIB
\Bibitem{Zak03}
\by A.~V.~Zakharov
\paper On stability of the solution to a backward stochastic differential equation
\jour Num. Meth. Prog.
\yr 2003
\vol 4
\issue 1
\pages 327--335
\mathnet{http://mi.mathnet.ru/vmp727}
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