Backward stochastic differential equations associated to jump Markov processes and applications
نویسندگان
چکیده
منابع مشابه
Feynman-kac Formulas, Backward Stochastic Differential Equations and Markov Processes
In this paper we explain the notion of stochastic backward differential equations and its relationship with classical (backward) parabolic differential equations of second order. The paper contains a mixture of stochastic processes like Markov processes and martingale theory and semi-linear partial differential equations of parabolic type. Some emphasis is put on the fact that the whole theory ...
متن کاملBackward Stochastic Differential Equations and Applications
A new type of stochastic differential equation, called the backward stochastic differentil equation (BSDE), where the value of the solution is prescribed at the final (rather than the initial) point of the time interval, but the solution is nevertheless required to be at each time a function of the past of the underlying Brownian motion, has been introduced recently, independently by Peng and t...
متن کاملBackward Stochastic Differential Equations Associated with Lévy Processes and Partial Integro-differential Equations
In this paper, we deal with a class of backward stochastic differential equations driven by Teugels martingales associated with a Lévy process (BSDELs). The comparison theorem is obtained. It is also shown that the solution of BSDE provides a viscosity solution of the associated system with partial integro-differential equations.
متن کاملSolutions of Backward Stochastic Differential Equations on Markov Chains
Consider a continuous time, finite state Markov chain X = {Xt, t ∈ [0, T ]}. We identify the states of this process with the unit vectors ei in R N , where N is the number of states of the chain. We consider stochastic processes defined on the filtered probability space (Ω, F , {Ft}, P), where {Ft} is the completed natural filtration generated by the σ-fields Ft = σ({Xu, u ≤ t}, F ∈ FT : P(F ) ...
متن کاملFeynman-kac Formulas, Backward Stochastic Differential Equations and Markov Processes: Long Version
Abstract. In this paper we explain the notion of stochastic backward differential equations and its relationship with classical (backward) parabolic differential equations of second order. The paper contains a mixture of stochastic processes like Markov processes and martingale theory and semi-linear partial differential equations of parabolic type. Some emphasis is put on the fact that the who...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2014
ISSN: 0304-4149
DOI: 10.1016/j.spa.2013.07.010