Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions

The Annals of Applied Probability ◽

10.1214/09-aap619 ◽

2010 ◽

Vol 20 (1) ◽

pp. 267-311 ◽

Author(s):

Samuel N. Cohen ◽

Robert J. Elliott

Keyword(s):

Differential Equations ◽

Markov Chains ◽

Stochastic Differential Equations ◽

Backward Stochastic Differential Equations ◽

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Backward stochastic differential equations with Markov chains and associated PDEs

Journal of Differential Equations ◽

10.1016/j.jde.2021.09.012 ◽

2021 ◽

Vol 302 ◽

pp. 854-894

Author(s):

Ning Ma ◽

Zhen Wu ◽

Huaizhong Zhao

Keyword(s):

Differential Equations ◽

Markov Chains ◽

Stochastic Differential Equations ◽

Backward Stochastic Differential Equations

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Backward Stochastic Differential Equations on Markov Chains with Non-Lipschitz Coefficients

2019 Chinese Control Conference (CCC) ◽

10.23919/chicc.2019.8865602 ◽

2019 ◽

Author(s):

Yi Peng ◽

Hongchao Qian ◽

Jinbiao Wu

Keyword(s):

Differential Equations ◽

Markov Chains ◽

Stochastic Differential Equations ◽

Backward Stochastic Differential Equations

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Erratum to: Fully coupled forward-backward stochastic differential equations on Markov chains

Advances in Difference Equations ◽

10.1186/s13662-016-0870-y ◽

2016 ◽

Vol 2016 (1) ◽

Author(s):

Shaolin Ji ◽

Haodong Liu ◽

Xinling Xiao

Keyword(s):

Differential Equations ◽

Markov Chains ◽

Stochastic Differential Equations ◽

Backward Stochastic Differential Equations ◽

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Backward stochastic differential equations with Markov chains and related asymptotic properties

Advances in Difference Equations ◽

10.1186/1687-1847-2013-285 ◽

2013 ◽

Vol 2013 (1) ◽

Author(s):

Huaibin Tang ◽

Zhen Wu

Keyword(s):

Differential Equations ◽

Markov Chains ◽

Stochastic Differential Equations ◽

Asymptotic Properties ◽

Backward Stochastic Differential Equations

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MEAN-FIELD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS ON MARKOV CHAINS

Bulletin of the Korean Mathematical Society ◽

10.4134/bkms.b150007 ◽

2017 ◽

Vol 54 (1) ◽

pp. 17-28 ◽

Author(s):

Wen Lu ◽

Yong Ren

Keyword(s):

Differential Equations ◽

Markov Chains ◽

Stochastic Differential Equations ◽

Backward Stochastic Differential Equations

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Fully coupled forward-backward stochastic differential equations on Markov chains

Advances in Difference Equations ◽

10.1186/s13662-016-0859-6 ◽

2016 ◽

Vol 2016 (1) ◽

Author(s):

Shaolin Ji ◽

Haodong Liu ◽

Xinling Xiao

Keyword(s):

Differential Equations ◽

Markov Chains ◽

Stochastic Differential Equations ◽

Backward Stochastic Differential Equations ◽

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Infinite horizon reflected backward stochastic differential equations with Markov chains

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2017.1353629 ◽

2018 ◽

Vol 47 (14) ◽

pp. 3360-3376

Author(s):

Siyu Lv ◽

Zhen Wu

Keyword(s):

Differential Equations ◽

Markov Chains ◽

Stochastic Differential Equations ◽

Infinite Horizon ◽

Backward Stochastic Differential Equations

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Anticipated backward stochastic differential equations on Markov chains

Statistics & Probability Letters ◽

10.1016/j.spl.2013.03.022 ◽

2013 ◽

Vol 83 (7) ◽

pp. 1711-1719 ◽

Author(s):

Wen Lu ◽

Yong Ren

Keyword(s):

Differential Equations ◽

Markov Chains ◽

Stochastic Differential Equations ◽

Backward Stochastic Differential Equations

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Solutions of backward stochastic differential equations on Markov chains

Communications on Stochastic Analysis ◽

10.31390/cosa.2.2.05 ◽

2008 ◽

Vol 2 (2) ◽

Author(s):

Samuel N Cohen ◽

Robert J Elliott

Keyword(s):

Differential Equations ◽

Markov Chains ◽

Stochastic Differential Equations ◽

Backward Stochastic Differential Equations

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Mean-Field Backward Stochastic Differential Equations Driven by Fractional Brownian Motion

Acta Mathematica Sinica English Series ◽

10.1007/s10114-021-0002-9 ◽

2021 ◽

Vol 37 (7) ◽

pp. 1156-1170

Author(s):

Yu Feng Shi ◽

Jia Qiang Wen ◽

Jie Xiong

Keyword(s):

Brownian Motion ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Fractional Brownian Motion ◽

Backward Stochastic Differential Equations

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