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most citedBackward stochastic differential equations with regime-switching and sublinear expectations

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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…