Backward stochastic difference equations for a single jump process
Date
2012
Authors
Shen, L.
Elliott, R.
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Journal article
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Methodology and Computing in Applied Probability, 2012; 14(4):955-971
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Leo Shen, Robert J. Elliott
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Abstract
We define Backward Stochastic Difference Equations related to a discrete finite time single jump process. We prove the existence and uniqueness of solutions under some assumptions. A comparison theorem for these solutions is also given. Applications to the theory of nonlinear expectations are then investigated. In this paper the single jump process takes values in a general measurable space where as previous work has considered the situation where the noise is a finite state Markov chain, so the state space is finite.
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© Springer Science+Business Media, LLC 2011