activity
20072025
most citedAnticipated backward stochastic differential equations

192 citations · 196 across the 7 of their papers we have counts for

collaborators

7 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…

math.PR2014

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…

math.PR2014

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…

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…

math.PR2014★ 2 cited

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…

math.PR2007★ 192 cited

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…