1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.PR2021★ 1 cited
Backward stochastic differential equations with regime-switching and sublinear expectations
Engel John C. Dela Vega, Robert J. Elliott
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 driv…
q-fin.MF2021
A stochastic control approach to bid-ask price modelling
Engel John C. Dela Vega, Robert J. Elliott
This paper develops a model for the bid and ask prices of a European type asset by formulating a stochastic control problem. The state process is governed by a modified geometric B…