Solutions of Backward Stochastic Differential Equations on Markov Chains
暂无分享,去创建一个
We consider backward stochastic differential equations (BSDEs) related to finite state, continuous time Markov chains. We show that appropriate solutions exist for arbitrary terminal conditions, and are unique up to sets of measure zero. We do not require the generating functions to be monotonic, instead using only an appropriate Lipschitz continuity condition.
[1] P. Brémaud. Point Processes and Queues , 1981 .
[2] S. Peng,et al. Backward Stochastic Differential Equations in Finance , 1997 .
[3] A. Shiryaev,et al. Limit Theorems for Stochastic Processes , 1987 .
[4] S. Peng,et al. Adapted solution of a backward stochastic differential equation , 1990 .
[5] John B. Moore,et al. Hidden Markov Models: Estimation and Control , 1994 .