192 citations · 196 across the 7 of their papers we have counts for
7 papers
Stochastic control for Backward Stochastic Differential Equations with semi-Markov chain noises
Robert J. Elliott, Zhe Yang
In this paper, we extend the results of Elliott and Yang \cite{elliott3} and discuss the control of a stochastic process for which the driving noise is provided by a martingale ass…
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…
Comparison and converse comparison theorems for backward stochastic differential equations with Markov chain noise
Zhe Yang, Dimbinirina Ramarimbahoaka, Robert J. Elliott
Comparison and converse comparison theorems are important parts of the research on backward stochastic differential equations. In this paper, we obtain comparison results for one d…
Anticipated backward stochastic differential equations
Shige Peng, Zhe Yang
In this paper we discuss new types of differential equations which we call anticipated backward stochastic differential equations (anticipated BSDEs). In these equations the genera…