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Filtration stability of backward SDE’s. (English) Zbl 0953.60044
This paper is devoted to a study of the solution of backward stochastic differential equations under small perturbations of the underlying filtration. Two notions of convergence of filtrations are defined, and the relevance of this work to finance is discussed.
Reviewer: A.Dale (Durban)

60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
34F05 Ordinary differential equations and systems with randomness
91B24 Microeconomic theory (price theory and economic markets)
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