Some Properties of Reflected Backward Stochastic Differential Equations for a Finite State Markov Chain Model
Probability
2015-05-14 v1
Abstract
In this paper, we provide an estimate for the solutions of reflected backward stochastic differential equations (RBSDEs) driven by a Markov chain, derive a continuous dependence property for their solutions with respect to the parameters of the equations, and show similar properties for solutions of backward stochastic differential equations (BSDEs). We finally establish a comparison result for the solutions of RBSDEs driven by a Markov chain.
Keywords
Cite
@article{arxiv.1505.03228,
title = {Some Properties of Reflected Backward Stochastic Differential Equations for a Finite State Markov Chain Model},
author = {Zhe Yang and Dimbinirina Ramarimbahoaka and Robert J. Elliott},
journal= {arXiv preprint arXiv:1505.03228},
year = {2015}
}
Comments
22 pages