Backward Stochastic Difference Equations with Finite States
DOI10.1007/978-3-0348-0097-6_3zbMath1254.60055OpenAlexW25823103MaRDI QIDQ2909972
Robert J. Elliott, Samuel N. Cohen
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
comparison theorembackward stochastic difference equationsnonlinear expectationdynamic risk measures
Martingales with discrete parameter (60G42) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (3)
Cites Work
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