Comparison Theorems for Finite State Backward Stochastic Differential Equations

DOI10.1007/978-3-642-03479-4_8zbMath1236.60052OpenAlexW49422226MaRDI QIDQ3000881

Robert J. Elliott, Samuel N. Cohen

Publication date: 31 May 2011

Published in: Contemporary Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-03479-4_8

zbMATH Keywords

comparison theoremnonlinear expectationfinite state backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

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