BSDEs with regime switching: weak convergence and applications
From MaRDI portal
Publication:2257512
DOI10.1016/j.jmaa.2013.05.011zbMath1306.60080MaRDI QIDQ2257512
Publication date: 25 February 2015
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2013.05.011
weak convergence; singular perturbation; Markov chains; backward stochastic differential equations; Meyer-Zheng topology; partial differential equation systems
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60J27: Continuous-time Markov processes on discrete state spaces
Related Items
Infinite horizon reflected backward stochastic differential equations with Markov chains, Stochastic Control Representations for Penalized Backward Stochastic Differential Equations, Near-optimal control problems for forward-backward regime-switching systems, Maximum principle for optimal control problems of forward-backward regime-switching systems involving impulse controls, Fully coupled forward-backward stochastic differential equations on Markov chains, The stochastic maximum principle for relaxed control problem with regime-switching, Backward stochastic differential equations with regime-switching and sublinear expectations, Multi-valued backward stochastic differential equations with regime switching, Backward stochastic differential equations with Markov chains and associated PDEs, Portfolio selection with regime-switching and state-dependent preferences, Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Maximum principle for optimal control problems of forward-backward regime-switching system and applications
- Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
- Adapted solution of a backward stochastic differential equation
- Tightness criteria for laws of semimartingales
- Option pricing in a regime-switching model using the fast Fourier transform
- Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
- Hybrid switching diffusions. Properties and applications
- Recursive valuation of defaultable securities and the timing of resolution of uncertainty
- Probabilistic interpretation of a system of semilinear parabolic partial differential equations
- Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
- Stock Trading: An Optimal Selling Rule
- Solutions of Backward Stochastic Differential Equations on Markov Chains
- DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK
- About the Pricing Equations in Finance
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Averaging of backward stochastic differential equations, with application to semi-linear pde's
- On nearly optimal controls of hybrid LQG problems
- Distances of Probability Measures and Random Variables
- On Weak Solutions of Backward Stochastic Differential Equations
- Asymptotic expansions of option price under regime-switching diffusions with a fast-varying switching process
- BSDEs, convergence in law and homogenization of semilinear parabolic SDEs
- On limit results for a class of singularly perturbed switching diffusions