Solutions of Backward Stochastic Differential Equations on Markov Chains

Details Solutions of Backward Stochastic Differential Equations on Markov Chains Solutions of Backward Stochastic Differential Equations on Markov Chains

2008-09-30

arxiv.org/abs/0809.5102v1

Mathematics

Probability

To appear in Communications on Stochastic Analysis, August 2008

Scientific paper

We consider backward stochastic differential equations (BSDEs) related to
finite state, continuous time Markov chains. We show that appropriate solutions
exist for arbitrary terminal conditions, and are unique up to sets of measure
zero. We do not require the generating functions to be monotonic, instead using
only an appropriate Lipschitz continuity condition.

Affiliated with

Also associated with

No associations

Rating

Solutions of Backward Stochastic Differential Equations on Markov Chains 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 Solutions of Backward Stochastic Differential Equations on Markov Chains, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Solutions of Backward Stochastic Differential Equations on Markov Chains will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-252082