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arXiv · 1504.07368

Fully Coupled Forward-backward Stochastic Differential Equations on Markov Chains

Shaolin Ji·Haodong Liu·Xinling Xiao
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Abstract

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.

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Shaolin Ji, Haodong Liu, Xinling Xiao. 2015-04-28. Fully Coupled Forward-backward Stochastic Differential Equations on Markov Chains. https://arxiv.org/abs/1504.07368

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