arXiv:0809.5102 Abstract | arXiv Analytics

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Solutions of Backward Stochastic Differential Equations on Markov Chains

Published 2008-09-30Version 1

We consider backward stochastic differential equations (BSDEs) related to finite state, continuous time Markov chains. We show that appropriate solutions exist for arbitrary terminal conditions, and are unique up to sets of measure zero. We do not require the generating functions to be monotonic, instead using only an appropriate Lipschitz continuity condition.

Comments: To appear in Communications on Stochastic Analysis, August 2008

Categories: math.PR

Subjects: 60H10, 60H05

Keywords: backward stochastic differential equations, appropriate lipschitz continuity condition, continuous time markov chains, arbitrary terminal conditions, finite state

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