Fully coupled forward-backward stochastic differential equations on Markov chains

被引：1

作者：

Ji, Shaolin ^{[1
]}

Liu, Haodong ^{[1
]}

Xiao, Xinling ^{[2
]}

机构：

[1] Shandong Univ, Qilu Inst Finance, Jinan 250100, Peoples R China

[2] Shandong Normal Univ, Sch Math Sci, Jinan 250014, Peoples R China

来源：

ADVANCES IN DIFFERENCE EQUATIONS | 2016年

基金：

中国国家自然科学基金;

关键词：

forward-backward stochastic differential equations; monotone assumption; Markov chain; LINEAR PARABOLIC PDES; MAXIMUM PRINCIPLE; BSDES; FINANCE; JUMPS; MODEL; SDES;

D O I：

10.1186/s13662-016-0859-6

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We define fully coupled forward-backward stochastic differential equations on spaces related to continuous-time finite-state Markov chains. Existence and uniqueness results of the fully coupled forward-backward stochastic differential equations on Markov chains are obtained.

引用

页数：18

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