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arXiv:1505.03228 [math.PR]AbstractReferencesReviewsResources

Some Properties of Reflected Backward Stochastic Differential Equations for a Finite State Markov Chain Model

Zhe Yang, Dimbinirina Ramarimbahoaka, Robert J. Elliott

Published 2015-05-13Version 1

In this paper, we provide an estimate for the solutions of reflected backward stochastic differential equations (RBSDEs) driven by a Markov chain, derive a continuous dependence property for their solutions with respect to the parameters of the equations, and show similar properties for solutions of backward stochastic differential equations (BSDEs). We finally establish a comparison result for the solutions of RBSDEs driven by a Markov chain.

Comments: 22 pages
Categories: math.PR
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