Geodesic
On stability of the solution to a backward stochastic differential equation
Numerical methods and programming, Tome 4 (2003) no. 1, pp. 327-335

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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. 
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     author = {A. V. Zakharov},
     title = {On stability of the solution to a backward stochastic differential equation},
     journal = {Numerical methods and programming},
     pages = {327--335},
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     number = {1},
     year = {2003},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/VMP_2003_4_1_a32/}
}
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A. V. Zakharov. On stability of the solution to a backward stochastic differential equation. Numerical methods and programming, Tome 4 (2003) no. 1, pp. 327-335. http://geodesic.mathdoc.fr/item/VMP_2003_4_1_a32/