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https://hdl.handle.net/2440/114736
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Type: | Journal article |
Title: | On anticipated backward stochastic differential equations with Markov chain noise |
Author: | Yang, Z. Elliott, R. |
Citation: | Stochastic Analysis and Applications, 2016; 34(5):749-799 |
Publisher: | Taylor & Francis |
Issue Date: | 2016 |
ISSN: | 0736-2994 1532-9356 |
Statement of Responsibility: | Zhe Yang and Robert J. Elliott |
Abstract: | In 2013, Lu and Ren considered anticipated backward stochastic differential equations driven by finite state, continuous time Markov chain noise and established the existence and uniqueness of the solutions of these equations and a scalar comparison theorem. In this article, we provide an estimate for their solutions and study the duality between these equations and stochastic differential delayed equations with Markov chain noise. Finally, we derive another comparison theorem for these solutions depending only on the two drivers. |
Keywords: | Anticipated BSDEs; Markov chain; duality; comparison theorem |
Rights: | © 2016 Taylor & Francis Group, LLC |
DOI: | 10.1080/07362994.2016.1164607 |
Published version: | http://dx.doi.org/10.1080/07362994.2016.1164607 |
Appears in Collections: | Aurora harvest 8 Mathematical Sciences publications |
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