In this paper, we consider continuous-time Markov chains with a finite state space under nonlinear expectations. We define so-called Q-operators as an extension of Q-matrices or rate matrices to a nonlinear setup, where the nonlinearity is due to model uncertainty. The main result gives a full...

We formulate a notion of doubly reflected BSDE in the case where the barriers xi and zeta do not satisfy any regularity assumption. Under a technical assumption (a Mokobodzki-type condition), we show existence and uniqueness of the solution. In the case where xi is right upper-semicontinuous and...

We formulate a notion of doubly reflected BSDE in the case where the barriers xi and zeta do not satisfy any regularity assumption. Under a technical assumption (a Mokobodzki-type condition), we show existence and uniqueness of the solution. In the case where xi is right upper-semicontinuous and...