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Stochastic Analysis with Financial ApplicationsBackward Stochastic Difference Equations with Finite States

Stochastic Analysis with Financial Applications: Backward Stochastic Difference Equations with... [We define Backward Stochastic Difference Equations on spaces related to discrete time, finite state processes. Solutions exist and are unique under weaker assumptions than are needed in the continuous time setting. A comparison theorem for these solutions is also given. Applications to the theory of nonlinear expectations are explored, including a representation result.] http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png

Stochastic Analysis with Financial ApplicationsBackward Stochastic Difference Equations with Finite States

Part of the Progress in Probability Book Series (volume 65)
Editors: Kohatsu-Higa, Arturo; Privault, Nicolas; Sheu, Shuenn-Jyi
Cohen, Samuel N.; Elliott, Robert J.
Stochastic Analysis with Financial Applications — Jul 12, 2011
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References (15)

Publisher
Springer Basel
Copyright
© Springer Basel AG 2011
ISBN
978-3-0348-0096-9
Pages
33 –42
DOI
10.1007/978-3-0348-0097-6_3
Publisher site
See Chapter on Publisher Site

Abstract

[We define Backward Stochastic Difference Equations on spaces related to discrete time, finite state processes. Solutions exist and are unique under weaker assumptions than are needed in the continuous time setting. A comparison theorem for these solutions is also given. Applications to the theory of nonlinear expectations are explored, including a representation result.]

Published: Jul 12, 2011

Keywords: BSDE; comparison theorem; nonlinear expectation; dynamic risk measures

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