On weak solutions of backward stochastic differential equations
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: Теория вероятностей и ее применения
سال: 2004
ISSN: 0040-361X
DOI: 10.4213/tvp237