Backward stochastic difference equations with finite states

DOI10.1007/978-3-0348-0097-6_3MaRDI QIDQ2909972zbMATH OpenOpenAlexFDO

Authors Samuel N. Cohen, Robert J. Elliott

Publication date 7 September 2012

Published in Stochastic Analysis with Financial Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-0348-0097-6_3

zbMATH Keywords

comparison theorembackward stochastic difference equationsnonlinear expectationdynamic risk measures

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• scientific article; zbMATH DE number 1066313 (Why is no real title available?)
• scientific article; zbMATH DE number 2144817 (Why is no real title available?)
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• A general theory of finite state backward stochastic difference equations
• Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
• DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
• Filtration-consistent nonlinear expectations and related \(g\)-expectations
• How to count and guess well: Discrete adaptive filters
• Inf-convolution of risk measures and optimal risk transfer
• Numerical method for backward stochastic differential equations
• Risk measures via \(g\)-expectations
• Solutions of backward stochastic differential equations on Markov chains
• Stochastic finance. An introduction in discrete time
• VALUATIONS AND DYNAMIC CONVEX RISK MEASURES

Cited in

(12)

• Controllability metrics on networks with linear decision process-type interactions and multiplicative noise
• Solvability of forward-backward stochastic difference equations with finite states
• Mean-field backward stochastic differential equations in general probability spaces
• Backward stochastic difference equations for a single jump process
• Comparison theorems for finite state backward stochastic differential equations
• Backward stochastic difference equations and nearly time-consistent nonlinear expectations
• A general theory of finite state backward stochastic difference equations
• Discrete-time BSDEs with random terminal horizon
• Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
• Backward stochastic differential equations with regime-switching and sublinear expectations
• Backward nonlinear expectation equations
• Ergodic backward stochastic difference equations

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