On anticipated backward stochastic differential equations with Markov chain noise

DOI10.1080/07362994.2016.1164607zbMath1347.60074arXiv1412.8707OpenAlexW749295500MaRDI QIDQ2821903

Robert J. Elliott, Zhe Yang

Publication date: 26 September 2016

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.8707

zbMATH Keywords

comparison theoremdualitybackward stochastic differential equationscontinuous-time Markov chain

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (1)

L^p solutions of anticipated BSDEs with weak monotonicity and general growth generators

Cites Work

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• Anticipated backward stochastic differential equations on Markov chains
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• Comparison Theorems for Finite State Backward Stochastic Differential Equations
• Existence and uniqueness of the solutions of delay stochastic integral equations
• Backward Stochastic Differential Equations in Finance
• Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
• American option prices in a Markov chain market model
• Anticipated backward stochastic differential equations with non-Lipschitz coefficients

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