Reflected Backward Stochastic Difference Equations with Finite State and their applications

Details Reflected Backward Stochastic Difference Equations with Finite State and their applications Reflected Backward Stochastic Difference Equations with Finite State and their applications

2010-01-18

arxiv.org/abs/1001.3054v4

Mathematics

Probability

43pages

Scientific paper

In this paper, we first establish the reflected backward stochastic difference equations with finite state (FS-RBSDEs for short). Then we explore the Existence and Uniqueness Theorem as well as the Comparison Theorem by "one step" method. The connections between FS-RBSDEs and optimal stopping time problems are investigated and we also show that the optimal stopping problems with multiple priors under Knightian uncertainty is a special case of our FS-RBSDEs. As a byproduct we develop the general theory of g-martingales in discrete time with finite state including Doob-Mayer Decomposition Theorem and Optional Sampling Theorem. Finally, we consider the pricing models of American Option in both complete and incomplete markets.

Affiliated with

Also associated with

No associations

Rating

Reflected Backward Stochastic Difference Equations with Finite State and their applications 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 Reflected Backward Stochastic Difference Equations with Finite State and their applications, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Reflected Backward Stochastic Difference Equations with Finite State and their applications will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-661301