Anticipated backward stochastic differential equations on Markov chains

DOI10.1016/J.SPL.2013.03.022zbMath1278.60094OpenAlexW2073999630MaRDI QIDQ383942

Wen Lu, Yong Ren

Publication date: 6 December 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.03.022

zbMATH Keywords

comparison theoremMarkov chainanticipated backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (13)

Converse comparison theorems for multidimensional anticipated backward stochastic differential equations ⋮ Anticipated mean-field backward stochastic differential equations with jumps ⋮ Mean-field anticipated BSDEs driven by time-changed Lévy noises ⋮ Backward stochastic differential equations with Markov chains and related asymptotic properties ⋮ Applications of anticipated BSDEs driven by time-changing Lévy noises ⋮ Mean-field backward stochastic differential equations in general probability spaces ⋮ Anticipated backward stochastic differential equations and their applications to zero-sum stochastic differential games ⋮ Generalized anticipated backward stochastic differential equations driven by Brownian motion and continuous increasing process ⋮ Stochastic control for BSDEs and ABSDEs with Markov chain noises ⋮ Comparison theorems for anticipated BSDEs with non-Lipschitz coefficients ⋮ Anticipated backward stochastic differential equations with left-Lipschitz coefficient ⋮ Anticipated BSDEs driven by time-changed Lévy noises ⋮ On anticipated backward stochastic differential equations with Markov chain noise

Cites Work

• The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls
• On Markovian solutions to Markov chain BSDEs
• Necessary and sufficient condition for the comparison theorem of multidimensional anticipated backward stochastic differential equations
• Adapted solution of a backward stochastic differential equation
• Zero-sum stochastic differential games and backward equations
• Existence, uniqueness and comparisons for BSDEs in general spaces
• Maximum principle for the stochastic optimal control problem with delay and application
• Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
• Anticipated backward stochastic differential equations
• Backward stochastic differential equations and applications to optimal control
• Solutions of Backward Stochastic Differential Equations on Markov Chains
• Ergodic BSDEs Driven by Markov Chains
• A general comparison theorem for backward stochastic differential equations
• Backward Stochastic Differential Equations in Finance
• Anticipated backward stochastic differential equations with non-Lipschitz coefficients

This page was built for publication: Anticipated backward stochastic differential equations on Markov chains