Solutions of Backward Stochastic Differential Equations on Markov Chains
Solutions of Backward Stochastic Differential Equations on Markov Chains
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DOI：
10.31390/cosa.2.2.05
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发表时间：
2008-08
期刊：
影响因子：
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通讯作者：
Samuel N. Cohen;R. Elliott
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文献类型：
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作者：
Samuel N. Cohen;R. Elliott
研究有限状态连续时间马尔可夫链的倒向随机微分方程。我们证明了对于任意端点条件存在适当解，并且在测度为零的集合内是唯一的。我们不要求生成函数是单调的，而只使用适当的Lipschitz连续性条件。
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.