Please use this identifier to cite or link to this item:
https://hdl.handle.net/2440/101710
Citations | ||
Scopus | Web of ScienceĀ® | Altmetric |
---|---|---|
?
|
?
|
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Yang, Z. | - |
dc.contributor.author | Ramarimbahoaka, D. | - |
dc.contributor.author | Elliott, R. | - |
dc.date.issued | 2016 | - |
dc.identifier.citation | Electronic Communications in Probability, 2016; 21(none):25-1-25-10 | - |
dc.identifier.issn | 1083-589X | - |
dc.identifier.issn | 1083-589X | - |
dc.identifier.uri | http://hdl.handle.net/2440/101710 | - |
dc.description.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. | - |
dc.description.statementofresponsibility | Zhe Yang, Dimbinirina Ramarimbahoaka, Robert J. Elliott | - |
dc.language.iso | en | - |
dc.publisher | Institute of Mathematical Statistics (IMS) and the Bernoulli Society | - |
dc.rights | Creative Commons Attribution License. Attribution 4.0 | - |
dc.source.uri | http://dx.doi.org/10.1214/16-ecp4102 | - |
dc.subject | BSDEs; comparison theorem; converse comparison; Markov chain | - |
dc.title | Comparison and converse comparison theorems for backward stochastic differential equations with Markov chain noise | - |
dc.type | Journal article | - |
dc.identifier.doi | 10.1214/16-ECP4102 | - |
dc.relation.grant | ARC | - |
pubs.publication-status | Published | - |
Appears in Collections: | Aurora harvest 3 Mathematical Sciences publications |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
hdl_101710.pdf | Published Version | 348.92 kB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.