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

Abstract

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.

22 pages

References in corpus (2)

• Reflected Backward Stochastic Differential Equations for a Finite State Markov Chain Model and Applications to American Options
• Comparison and converse comparison theorems for backward stochastic differential equations with Markov chain noise