COMPARISONS FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS ON MARKOV CHAINS AND RELATED NO-ARBITRAGE CONDITIONS

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dc.contributor.authorElliott, Roberteng
dc.contributor.authorCohen, Samuel Neng
dc.date.accessioned2012-06-13T16:11:43Z
dc.date.available2012-06-13T16:11:43Z
dc.date.issued2010
dc.descriptionArticle deposited according to publisher policy posted on SHERPA/ROMEO, June 13, 2012eng
dc.description.abstractMost 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. Us- ing 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 expec- tations (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.eng
dc.description.refereedYeseng
dc.identifier.citationCohen, S.N. and Elliott, R.J., Comparisons for Backward Stochastic Differential Equations on Markov Chains and related No-Arbitrage Conditions, Annals of Applied Probability, January 2010, 20(1):267-311eng
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/34074
dc.identifier.issn1050-5164
dc.identifier.urihttp://hdl.handle.net/1880/48978
dc.language.isoengeng
dc.publisherInstitute of Matehmatical Statisticseng
dc.publisher.corporateUniversity of Calgaryeng
dc.publisher.facultyHaskayne School of Businesseng
dc.publisher.urlhttp://imstat.org/aap/eng
dc.subjectBackward stochastic differential equationeng
dc.subjectMarkov chainseng
dc.subject.othernon-linear expectationeng
dc.subject.otherdynamic risk measureseng
dc.subject.othercomparison theoremeng
dc.titleCOMPARISONS FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS ON MARKOV CHAINS AND RELATED NO-ARBITRAGE CONDITIONSeng
dc.typejournal article
thesis.degree.disciplineFinanceeng
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