Please use this identifier to cite or link to this item:
https://hdl.handle.net/2440/61004
Citations | ||
Scopus | Web of Science® | Altmetric |
---|---|---|
?
|
?
|
Type: | Journal article |
Title: | Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions |
Author: | Cohen, S. Elliott, R. |
Citation: | Annals of Applied Probability, 2010; 20(1):267-311 |
Publisher: | Inst Mathematical Statistics |
Issue Date: | 2010 |
ISSN: | 1050-5164 1050-5164 |
Statement of Responsibility: | Samuel N. Cohen and Robert J. Elliott |
Abstract: | Most previous contributions to BSDEs, and the related theories of nonlinear expectation and dynamic risk measures, have been in the framework of continuous time diffusions or jump diffusions. Using solutions of BSDEs on spaces related to finite state, continuous time Markov chains, we develop a theory of nonlinear expectations in the spirit of [Dynamically consistent nonlinear evaluations and expectations (2005) Shandong Univ.]. We prove basic properties of these expectations and show their applications to dynamic risk measures on such spaces. In particular, we prove comparison theorems for scalar and vector valued solutions to BSDEs, and discuss arbitrage and risk measures in the scalar case. |
Keywords: | Backward stochastic differential equation Markov chains nonlinear expectation dynamic risk measures comparison theorem |
Rights: | © Institute of Mathematical Statistics, 2010 |
DOI: | 10.1214/09-AAP619 |
Grant ID: | ARC |
Published version: | http://dx.doi.org/10.1214/09-aap619 |
Appears in Collections: | Aurora harvest Mathematical Sciences publications |
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.