On Markovian solutions to Markov chain BSDEs

DOI10.3934/naco.2012.2.257zbMath1254.60056arXiv1111.5739OpenAlexW2144659059MaRDI QIDQ450741

Samuel N. Cohen, Lukasz Szpruch

Publication date: 14 September 2012

Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.5739

zbMATH Keywords

Markov chainsnumerical solutionBSDEcoupled ODE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial value problems, existence, uniqueness, continuous dependence and continuation of solutions to ordinary differential equations (34A12) Stochastic integrals (60H05) Continuous-time Markov processes on discrete state spaces (60J27)

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