Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions

DOI10.1214/09-AAP619zbMath1195.60077arXiv0810.0055MaRDI QIDQ2268728

Robert J. Elliott, Samuel N. Cohen

Publication date: 8 March 2010

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0810.0055

zbMATH Keywords

Markov chains; comparison theorem; backward stochastic differential equation; nonlinear expectation; dynamic risk measures

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91B70: Stochastic models in economics

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