Anticipated backward stochastic differential equations on Markov chains

DOI10.1016/j.spl.2013.03.022zbMath1278.60094MaRDI QIDQ383942

Wen Lu, Yong Ren

Publication date: 6 December 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.03.022

zbMATH Keywords

comparison theorem; Markov chain; anticipated backward stochastic differential equations

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60G40: Stopping times; optimal stopping problems; gambling theory

Related Items

Anticipated backward stochastic differential equations and their applications to zero-sum stochastic differential games, Generalized anticipated backward stochastic differential equations driven by Brownian motion and continuous increasing process, Stochastic control for BSDEs and ABSDEs with Markov chain noises, Applications of anticipated BSDEs driven by time-changing Lévy noises, Comparison theorems for anticipated BSDEs with non-Lipschitz coefficients, Converse comparison theorems for multidimensional anticipated backward stochastic differential equations, Anticipated mean-field backward stochastic differential equations with jumps, Backward stochastic differential equations with Markov chains and related asymptotic properties, Mean-field backward stochastic differential equations in general probability spaces, Anticipated backward stochastic differential equations with left-Lipschitz coefficient, Mean-field anticipated BSDEs driven by time-changed Lévy noises, Anticipated BSDEs driven by time-changed Lévy noises, On anticipated backward stochastic differential equations with Markov chain noise

Cites Work

• The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls
• On Markovian solutions to Markov chain BSDEs
• Necessary and sufficient condition for the comparison theorem of multidimensional anticipated backward stochastic differential equations
• Adapted solution of a backward stochastic differential equation
• Zero-sum stochastic differential games and backward equations
• Existence, uniqueness and comparisons for BSDEs in general spaces
• Maximum principle for the stochastic optimal control problem with delay and application
• Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
• Anticipated backward stochastic differential equations
• Backward stochastic differential equations and applications to optimal control
• Solutions of Backward Stochastic Differential Equations on Markov Chains
• Ergodic BSDEs Driven by Markov Chains
• A general comparison theorem for backward stochastic differential equations
• Backward Stochastic Differential Equations in Finance
• Anticipated backward stochastic differential equations with non-Lipschitz coefficients