Please use this identifier to cite or link to this item:
https://hdl.handle.net/2440/101710
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Type: | Journal article |
Title: | Comparison and converse comparison theorems for backward stochastic differential equations with Markov chain noise |
Author: | Yang, Z. Ramarimbahoaka, D. Elliott, R. |
Citation: | Electronic Communications in Probability, 2016; 21(none):25-1-25-10 |
Publisher: | Institute of Mathematical Statistics (IMS) and the Bernoulli Society |
Issue Date: | 2016 |
ISSN: | 1083-589X 1083-589X |
Statement of Responsibility: | Zhe Yang, Dimbinirina Ramarimbahoaka, Robert J. Elliott |
Abstract: | Comparison and converse comparison theorems are important parts of the research on backward stochastic differential equations. In this paper, we obtain comparison results for one dimensional backward stochastic differential equations with Markov chain noise, adapting previous results under simplified hypotheses. We introduce a type of nonlinear expectation, the f-expectation, which is an interpretation of the solution to a BSDE, and use it to establish a converse comparison theorem for the same type of equations as those in the comparison results. |
Keywords: | BSDEs; comparison theorem; converse comparison; Markov chain |
Rights: | Creative Commons Attribution License. Attribution 4.0 |
DOI: | 10.1214/16-ECP4102 |
Grant ID: | ARC |
Published version: | http://dx.doi.org/10.1214/16-ecp4102 |
Appears in Collections: | Aurora harvest 3 Mathematical Sciences publications |
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File | Description | Size | Format | |
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hdl_101710.pdf | Published Version | 348.92 kB | Adobe PDF | View/Open |
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