A general theory of finite state Backward Stochastic Difference Equations
نویسندگان
چکیده
منابع مشابه
A General Theory of Finite State Backward Stochastic Difference Equations
By analogy with the theory of Backward Stochastic Differential Equations, we define Backward Stochastic Difference Equations on spaces related to discrete time, finite state processes. This paper considers properties of these processes as constructions in their own right, not as approximations to the continuous case. We establish the existence and uniqueness of solutions under weaker assumption...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2010
ISSN: 0304-4149
DOI: 10.1016/j.spa.2010.01.004