Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
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Publication:2268728
DOI10.1214/09-AAP619zbMath1195.60077arXiv0810.0055OpenAlexW3101925067MaRDI QIDQ2268728
Robert J. Elliott, Samuel N. Cohen
Publication date: 8 March 2010
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0810.0055
Markov chainscomparison theorembackward stochastic differential equationnonlinear expectationdynamic risk measures
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70)
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Cites Work
- Mathematics of financial markets.
- Risk measures via \(g\)-expectations
- A survey of product-integration with a view toward application in survival analysis
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- Solutions of Backward Stochastic Differential Equations on Markov Chains
- Backward Stochastic Differential Equations in Finance
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