Infinite horizon reflected backward stochastic differential equations with Markov chains

DOI10.1080/03610926.2017.1353629OpenAlexW2738174834MaRDI QIDQ5160260FDOQ5160260

Authors: Siyu Lv, Zhen Wu 

Publication date: 28 October 2021

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1353629

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zbMATH Keywords

Markov chainbackward stochastic differential equationcomparison theoremreflected backward stochastic differential equationinfinite horizon

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• A Near-Optimal Selling Rule for a Two-Time-Scale Market Model
• BSDEs with regime switching: weak convergence and applications

Cited In (2)

• Infinite horizon reflected backward stochastic differential equations and applications in mixed control and game problems
• Infinite Horizon Reflected Backward SDEs with Jumps and RCLL Obstacle

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