Backward stochastic differential equations with regime-switching and sublinear expectations

被引：1

作者：

Dela Vega, Engel John C. ^{[1
]}

Elliott, Robert J. ^{[1
,2
]}

机构：

[1] Univ South Australia, UniSA Business, Adelaide, SA 5000, Australia

[2] Univ Calgary, Haskayne Sch Business, Calgary, AB, Canada

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2022年 / 148卷

基金：

澳大利亚研究理事会;

关键词：

Backward stochastic differential equations; Regime-switching; Markov chains; Brownian motion; Sublinear expectations; Two-price theory; G-BROWNIAN MOTION; CALCULUS; THEOREMS; BSDES;

D O I：

10.1016/j.spa.2022.02.012

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper introduces a backward stochastic differential equation driven by both Brownian motion and a Markov chain (BSDEBM). Regime-switching is also incorporated through its driver. The existence and uniqueness of the solution of the BSDEBM are proved. A comparison theorem is also derived. Filtration consistent sublinear expectations are defined and characterized as solutions to the BSDEBM. The bid and ask prices are then represented using sublinear expectations.(c) 2022 Elsevier B.V. All rights reserved.

引用

页码：278 / 298

页数：21

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