Anticipated backward stochastic differential equations on Markov chains

In this paper, we deal with a class of anticipated backward stochastic differential equations related to finite state, continuous time Markov chains. The adapted solution of those equations as well as a scalar comparison theorem will be established.

MoreLess

Year of publication:	2013
Authors:	Lu, Wen ; Ren, Yong
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 7, p. 1711-1719
Publisher:	Elsevier
Subject:	Anticipated backward stochastic differential equations \| Markov chain \| Comparison theorem

More details

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

Persistent link: https://www.econbiz.de/10010665592