Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
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Publication:2268728
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
Markov chains; comparison theorem; backward stochastic differential equation; nonlinear expectation; dynamic risk measures
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91B70: Stochastic models in economics
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