Infinite horizon reflected backward stochastic differential equations with Markov chains
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Publication:5160260
DOI10.1080/03610926.2017.1353629OpenAlexW2738174834MaRDI QIDQ5160260
Publication date: 28 October 2021
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2017.1353629
infinite horizoncomparison theoremMarkov chainbackward stochastic differential equationreflected backward stochastic differential equation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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