2 papers
math.PR2025
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…
math.PR2015
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…