most citedReflected Backward Stochastic Differential Equations for a Finite State Markov Chain Model and Applications to American Options

2 citations · 2 across the 1 of their papers we have counts for

collaborators

1 paper

math.PR2014★ 2 cited

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…