IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-642-03479-4_8.html
   My bibliography  Save this book chapter

Comparison Theorems for Finite State Backward Stochastic Differential Equations

In: Contemporary Quantitative Finance

Author

Listed:
  • Samuel N. Cohen

    (University of Adelaide, School of Mathematical Sciences)

  • Robert J. Elliott

    (University of Adelaide, School of Mathematical Sciences
    University of Calgary, Haskayne School of Business)

Abstract

Most previous contributions on BSDEs, and the related theories of non linear expectation and dynamic risk measures, have been in the framework of continuous time diffusions or jump diffusions. Using solutions of BSDEs on spaces related to finite state, continuous time Markov Chains, we discuss a theory of nonlinear expectations in the spirit of Peng ( math/0501415 (2005)). We prove basic properties of these expectations, and show their applications to dynamic risk measures on such spaces. In particular, we prove comparison theorems for scalar and vector valued solutions to BSDEs, and discuss arbitrage and risk measures in the scalar case.

Suggested Citation

  • Samuel N. Cohen & Robert J. Elliott, 2010. "Comparison Theorems for Finite State Backward Stochastic Differential Equations," Springer Books, in: Carl Chiarella & Alexander Novikov (ed.), Contemporary Quantitative Finance, pages 135-158, Springer.
    • Handle: RePEc:spr:sprchp:978-3-642-03479-4_8
    DOI: 10.1007/978-3-642-03479-4_8
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-3-642-03479-4_8. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.