101 citations · 224 across the 20 of their papers we have counts for
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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…
Semimartingale dynamics and estimation for a semi-Markov chain
Robert J. Elliott
We consider a finite state discrete time process X. Without loss of generality the finite state space can be identified with the set of unit vectors {e1, e2, . . . , eN} with ei =…
Some Properties of Reflected Backward Stochastic Differential Equations for a Finite State Markov Chain Model
Zhe Yang, Dimbinirina Ramarimbahoaka, Robert J. Elliott
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 pr…
On Anticipated backward stochastic differential equations with Markov chain noise
Zhe Yang, Robert J. Elliott
In 2013, Lu and Ren \cite {luren} considered anticipated backward stochastic differential equations driven by finite state, continuous time Markov chain noise and established the e…
Backward Stochastic Differential Equations with Continuous Coefficients in a Markov Chain Model and with Applications to European Options
Dimbinirina Ramarimbahoaka, Zhe Yang, Robert J. Elliott
In this paper we discuss backward stochastic differential equations with Markov chain noise, having continuous drivers. We obtain the existence of a solution which is possibly not…
Reflected Backward Stochastic Differential Equations for a Finite State Markov Chain Model and Applications to American Options
Dimbinirina Ramarimbahoaka, Zhe Yang, Robert J. Elliott
In this paper, we introduce a new kind of reflected backward stochastic differential equations (RBSDEs) driven by a martingale, in a Markov chain model, but not driven by Brownian…