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https://hdl.handle.net/2440/78472
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Type: | Journal article |
Title: | Backward stochastic difference equations for a single jump process |
Author: | Shen, L. Elliott, R. |
Citation: | Methodology and Computing in Applied Probability, 2012; 14(4):955-971 |
Publisher: | Kluwer Academic Publishers |
Issue Date: | 2012 |
ISSN: | 1387-5841 1573-7713 |
Statement of Responsibility: | Leo Shen, Robert J. Elliott |
Abstract: | We define Backward Stochastic Difference Equations related to a discrete finite time single jump process. We prove the existence and uniqueness of solutions under some assumptions. A comparison theorem for these solutions is also given. Applications to the theory of nonlinear expectations are then investigated. In this paper the single jump process takes values in a general measurable space where as previous work has considered the situation where the noise is a finite state Markov chain, so the state space is finite. |
Keywords: | Single jump process BSDE Comparison theorem Non-linear expectation Dynamic risk measure 60H10 60G42 65C30 |
Rights: | © Springer Science+Business Media, LLC 2011 |
DOI: | 10.1007/s11009-011-9217-z |
Grant ID: | ARC |
Published version: | http://dx.doi.org/10.1007/s11009-011-9217-z |
Appears in Collections: | Aurora harvest Mathematical Sciences publications |
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