Backward stochastic difference equations for a single jump process

Simple item page
dc.contributor.authorShen, L.
dc.contributor.authorElliott, R.
dc.date.issued2012
dc.description.abstractWe 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.
dc.description.statementofresponsibilityLeo Shen, Robert J. Elliott
dc.identifier.citationMethodology and Computing in Applied Probability, 2012; 14(4):955-971
dc.identifier.doi10.1007/s11009-011-9217-z
dc.identifier.issn1387-5841
dc.identifier.issn1573-7713
dc.identifier.urihttp://hdl.handle.net/2440/78472
dc.language.isoen
dc.publisherKluwer Academic Publishers
dc.relation.grantARC
dc.rights© Springer Science+Business Media, LLC 2011
dc.source.urihttps://doi.org/10.1007/s11009-011-9217-z
dc.subjectSingle jump process
dc.subjectBSDE
dc.subjectComparison theorem
dc.subjectNon-linear expectation
dc.subjectDynamic risk measure
dc.subject60H10
dc.subject60G42
dc.subject65C30
dc.titleBackward stochastic difference equations for a single jump process
dc.typeJournal article
pubs.publication-statusPublished

Files

Collections

Mathematical Sciences publications