BSDEs with regime switching: weak convergence and applications

DOI10.1016/j.jmaa.2013.05.011zbMath1306.60080OpenAlexW2093068555MaRDI QIDQ2257512

Yanyan Li

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

zbMATH Keywords

weak convergencesingular perturbationMarkov chainsbackward stochastic differential equationsMeyer-Zheng topologypartial differential equation systems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (11)

Backward stochastic differential equations with regime-switching and sublinear expectations ⋮ Multi-valued backward stochastic differential equations with regime switching ⋮ 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 ⋮ Backward stochastic differential equations with Markov chains and associated PDEs ⋮ Infinite horizon reflected backward stochastic differential equations with Markov chains ⋮ Portfolio selection with regime-switching and state-dependent preferences ⋮ Near-optimal control problems for forward-backward regime-switching systems ⋮ Stochastic Control Representations for Penalized Backward Stochastic Differential Equations ⋮ Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models ⋮ The stochastic maximum principle for relaxed control problem with regime-switching

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