Fully Coupled Forward-backward Stochastic Differential Equations on Markov Chains
Probability
2015-04-29 v1
Abstract
We define fully coupled forward-backward stochastic differential equations on spaces related to continuous time, finite state Markov Chains. Existence and uniqueness results of the fully coupled forward-backward stochastic differential equations on Markov Chains are obtained.
Keywords
Cite
@article{arxiv.1504.07368,
title = {Fully Coupled Forward-backward Stochastic Differential Equations on Markov Chains},
author = {Shaolin Ji and Haodong Liu and Xinling Xiao},
journal= {arXiv preprint arXiv:1504.07368},
year = {2015}
}