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

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Author
Elliott, Robert
Cohen, Samuel N
Accessioned
2012-06-13T16:11:43Z
Available
2012-06-13T16:11:43Z
Issued
2010
Other
non-linear expectation
dynamic risk measures
comparison theorem
Subject
Backward stochastic differential equation
Markov chains
Type
journal article
Metadata
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Abstract
Most 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.
Refereed
Yes
Article deposited according to publisher policy posted on SHERPA/ROMEO, June 13, 2012
 
Citation
Cohen, 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):267-311
Corporate
University of Calgary
Faculty
Haskayne School of Business
Url
http://imstat.org/aap/
Publisher
Institute of Matehmatical Statistics
Doi
http://dx.doi.org/10.11575/PRISM/34074
Uri
http://hdl.handle.net/1880/48978
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  • Haskayne School of Business Research & Publications

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