Adelaide Research & Scholarship
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| Type: | Conference paper |
| Title: | Backward Stochastic Difference Equations with Finite States |
| Author: | Cohen, S. Elliott, R. |
| Citation: | Stochastic Analysis with Financial Applications: Hong Kong, 2009, 2011 / A. Kohatsu-Higa, N. Privault and S.-J. Sheu (eds.), pp.33-42 |
| Publisher: | Springer |
| Publisher Place: | Switzerland |
| Issue Date: | 2011 |
| Series/Report no.: | Progress in Probability |
| ISBN: | 9783034800969 |
| ISSN: | 1050-6977 |
| Conference Name: | Workshop on Stochastic Analysis and Finance (29 Jun 2009 - 3 Jul 2009 : Hong Kong) |
| Editor: | Kohatsu Higa, A. Privault, N. Sheu, S. |
| Statement of Responsibility: | Samuel N. Cohen and Robert J. Elliott |
| Abstract: | We define Backward Stochastic Difference Equations on spaces related to discrete time, finite state processes. Solutions exist and are unique under weaker assumptions than are needed in the continuous time setting. A comparison theorem for these solutions is also given. Applications to the theory of nonlinear expectations are explored, including a representation result. |
| Keywords: | BSDE comparison theorem nonlinear expectation dynamic risk measures |
| Description: | Progress in Probability; vol. 65 |
| DOI: | 10.1007/978-3-0348-0097-6_3 |
| Grant ID: | ARC |
| Appears in Collections: | Aurora harvest Mathematical Sciences publications |
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