Backward stochastic differential equations with regime-switching and sublinear expectations

DOI10.1016/j.spa.2022.02.012zbMath1492.60161arXiv2112.02375OpenAlexW4200634499WikidataQ115341109 ScholiaQ115341109MaRDI QIDQ2132537

Robert J. Elliott, Engel John C. Dela Vega

Publication date: 28 April 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2112.02375

zbMATH Keywords

Markov chainsBrownian motionbackward stochastic differential equationssublinear expectationsregime-switchingtwo-price theory

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of continuous-time Markov processes on discrete state spaces (60J28)

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