Comparison and converse comparison theorems for backward stochastic differential equations with Markov chain noise

DOI10.1214/16-ECP4102zbMath1338.60164arXiv1404.2213MaRDI QIDQ287812

Robert J. Elliott, Zhe Yang, Dimbinirina Ramarimbahoaka

Publication date: 23 May 2016

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.2213

zbMATH Keywords

comparison theoremMarkov chainBSDEsconverse comparison

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Stochastic control for BSDEs and ABSDEs with Markov chain noises

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