A stability theorem of backward stochastic differential equations and its application;Un théorème de stabilité d'équations différentielles stochastiques rétrogrades et son application

Comptes Rendus de l'Academie des Sciences - Series I: Mathematics

Volumn 324, Issue 9, 1997, Pages 1059-1064

  Hu, Ying ^a   Peng, Shige ^b  

^a UNIVERSITÉ BLAISE PASCAL   (France)

^b SHANDONG UNIVERSITY   (China)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031138616     PISSN: 07644442     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0764-4442(97)87886-X     Document Type: Article

References (4)

1. [1] Bensoussan A., Lions J.L. and Papanicolaou G., 1978. Asymptotic analysis for periodic structures, North Holland, Amsterdam.
2. [2] El Karoui N., Peng S. and Quenez M.C., 1997. Backward stochastic differential equations in finance, to appear in Mathematical Finance.
3. [3] Pardoux E. and Peng S., 1990. Adapted solution of a backward stochastic differential equation, Syst. Control Lett., 14, p. 55-61.
4. [4] Pardoux E. and Peng S., 1992. Backward stochastic differential equations and quasi-linear parabolic partial differential equations, Lecture Notes in Control and Inform Sci. 176, p. 200-217, Springer, Berlin.