Backward stochastic differential equations with Markov chains and related asymptotic properties
نویسندگان
چکیده
منابع مشابه
Solutions 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 ) ...
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ژورنال
عنوان ژورنال: Advances in Difference Equations
سال: 2013
ISSN: 1687-1847
DOI: 10.1186/1687-1847-2013-285