A generalized Girsanov transformation of finite state stochastic processes in discrete time

Cohen and Elliott (2010) introduced the backward stochastic difference equations (BSDEs) on spaces related to discrete time, finite state processes. Motivated by obtaining the explicit solution of a linear BSDE under their framework, we develop a new type of Girsanov transformation in this paper.

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Year of publication:	2014
Authors:	Cohen, Samuel N. ; Ji, Shaolin ; Yang, Shuzhen
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 84.2014, C, p. 33-39
Publisher:	Elsevier
Subject:	Backward stochastic difference equations (BSDEs) \| Girsanov transformation \| Signed measures

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010718801