Backward stochastic Volterra integral equations on Markov chains

DOI10.1080/17442508.2017.1381096zbMath1498.60275OpenAlexW2760383623MaRDI QIDQ5085850

Jiaqin Wei

Publication date: 30 June 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2017.1381096

zbMATH Keywords

Markov chainscomparison theoremdynamic risk measuresbackward stochastic Volterra integral equation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Continuous-time Markov processes on discrete state spaces (60J27) Stochastic integral equations (60H20)

Cites Work

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