A general theory of finite state backward stochastic difference equations
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Publication:963031
DOI10.1016/j.spa.2010.01.004zbMath1205.60111arXiv0810.4957OpenAlexW2166337637MaRDI QIDQ963031
Samuel N. Cohen, Robert J. Elliott
Publication date: 8 April 2010
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0810.4957
comparison theorembackward stochastic differential equationsbackward stochastic difference equationsnonlinear expectationdynamic risk measuresadapted solutionsdiscrete martingales
Martingales with discrete parameter (60G42) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generation, random and stochastic difference and differential equations (37H10) Numerical solutions to stochastic differential and integral equations (65C30)
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