Solutions of Backward Stochastic Differential Equations on Markov Chains

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dc.creatorCohen, Samuel N.
dc.creatorElliott, Robert J.
dc.date2008-09-30
dc.date.accessioned2026-07-07T10:06:22Z
dc.date.available2026-07-07T10:06:22Z
dc.descriptionWe 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.
dc.descriptionTo appear in Communications on Stochastic Analysis, August 2008
dc.identifierhttps://arxiv.org/abs/0809.5102
dc.identifierhttp://arxiv.org/abs/0809.5102
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/170300
dc.subjectProbability
dc.subject60H10; 60H05
dc.titleSolutions of Backward Stochastic Differential Equations on Markov Chains
dc.typetext

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