Backward stochastic difference equations with finite states
DOI10.1007/978-3-0348-0097-6_3zbMATH Open1254.60055OpenAlexW25823103MaRDI QIDQ2909972FDOQ2909972
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
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Cites Work
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- Filtration-consistent nonlinear expectations and related \(g\)-expectations
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- Stochastic finance. An introduction in discrete time
- Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
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- VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
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- Inf-convolution of risk measures and optimal risk transfer
- A general theory of finite state backward stochastic difference equations
- A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
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Cited In (12)
- Solvability of forward-backward stochastic difference equations with finite states
- Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
- Discrete-time BSDEs with random terminal horizon
- Backward stochastic difference equations for a single jump process
- Backward stochastic differential equations with regime-switching and sublinear expectations
- Comparison theorems for finite state backward stochastic differential equations
- Mean-field backward stochastic differential equations in general probability spaces
- A general theory of finite state backward stochastic difference equations
- Ergodic backward stochastic difference equations
- Backward stochastic difference equations and nearly time-consistent nonlinear expectations
- Controllability metrics on networks with linear decision process-type interactions and multiplicative noise
- Backward nonlinear expectation equations
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