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Comparison theorems for finite state backward stochastic differential equations

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dc.contributor.authorCohen, S.
dc.contributor.authorElliott, R.
dc.contributor.conferenceInternational Conference on Quantitative Methods in Finance (2009 : Sydney, Australia)
dc.contributor.editorChiarella, C.
dc.contributor.editorNovikov, A.
dc.date.issued2010
dc.description.abstractMost previous contributions on BSDEs, and the related theories of non linear 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 discuss a theory of nonlinear expectations in the spirit of Peng (math/0501415 (2005)). 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.
dc.description.statementofresponsibilitySamuel N. Cohen and Robert J. Elliott
dc.identifier.citationSource details - Title: Contemporary quantitative finance: essays in honour of Eckhard Platen, 2010 / Chiarella, C., Novikov, A. (ed./s), Ch.8, pp.135-158
dc.identifier.doi10.1007/978-3-642-03479-4_8
dc.identifier.isbn9783642034787
dc.identifier.urihttp://hdl.handle.net/2440/64824
dc.language.isoen
dc.publisherSPRINGER-VERLAG BERLIN
dc.publisher.placeHEIDELBERGER PLATZ 3, D-14197 BERLIN, GERMANY
dc.rights© Springer-Verlag Berlin Heidelberg 2010
dc.source.urihttp://dx.doi.org/10.1007/978-3-642-03479-4_8
dc.subjectBSDE
dc.subjectMarkov chain
dc.subjectarbitrage
dc.subjectrisk measures
dc.subjectnon-linear expectations
dc.titleComparison theorems for finite state backward stochastic differential equations
dc.typeBook chapter
pubs.publication-statusPublished

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