{
  "id": "1404.2221",
  "version": "v3",
  "published": "2014-04-08T17:20:47.000Z",
  "updated": "2014-11-28T16:49:57.000Z",
  "title": "Backward Stochastic Differential Equations with Continuous Coefficients in a Markov Chain Model and with Applications to European Options",
  "authors": [
    "Dimbinirina Ramarimbahoaka",
    "Zhe Yang",
    "Robert J. Elliott"
  ],
  "comment": "23 pages",
  "categories": [
    "math.PR"
  ],
  "abstract": "In this paper we discuss backward stochastic differential equations with Markov chain noise, having continuous drivers. We obtain the existence of a solution which is possibly not unique. Moreover, we show there is a minimal solution for this kind of equation and derive the corresponding comparison result. This is applied to pricing of European options in a market with Markov chain noise.",
  "revisions": [
    {
      "version": "v2",
      "updated": "2014-05-13T20:23:23.000Z",
      "abstract": "In this paper we discuss backward stochastic differential equations with Markov chain noise, having continuous drivers with linear growth. We obtain the existence of a solution which is possibly not unique. Moreover, we show there is a minimal solution for this kind of equation and derive the corresponding comparison result. This is applied to pricing of European options in a market with Markov chain noise.",
      "comment": "20 pages",
      "journal": null,
      "doi": null,
      "authors": [
        "Zhe Yang",
        "Dimbinirina Ramarimbahoaka",
        "Robert J. Elliott"
      ]
    },
    {
      "version": "v3",
      "updated": "2014-11-28T16:49:57.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "backward stochastic differential equations",
      "markov chain model",
      "european options",
      "continuous coefficients",
      "markov chain noise"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 23,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2014arXiv1404.2221R"
    }
  }
}