Backward Stochastic Differential Equations with Markov Chains and The Application: Homogenization of PDEs System

Details Backward Stochastic Differential Equations with Markov Chains and The Application: Homogenization of PDEs System Backward Stochastic Differential Equations with Markov Chains and The Application: Homogenization of PDEs System

2010-09-26

arxiv.org/abs/1009.5074v1

Mathematics

Probability

Scientific paper

Stemmed from the derivation of the optimal control to a stochastic linear-quadratic control problem with Markov jumps, we study one kind of backward stochastic differential equations (BSDEs) that the generator f is affected by a Markovian switching. Then, the case that the Markov chain is involved in a large state space is considered. Following the classical approach, a hierarchical approach is adopted to reduce the complexity and a singularly perturbed Markov chain is involved. We will study the asymptotic property of BSDE with the singularly perturbed Markov chain. At last, as an application of our theoretical result, we show the homogenization of one system of partial differential equations (PDEs) with a singularly perturbed Markov chain.

Affiliated with

Also associated with

No associations

Rating

Backward Stochastic Differential Equations with Markov Chains and The Application: Homogenization of PDEs System does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Backward Stochastic Differential Equations with Markov Chains and The Application: Homogenization of PDEs System, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Backward Stochastic Differential Equations with Markov Chains and The Application: Homogenization of PDEs System will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-561445