2 citations · 4 across the 4 of their papers we have counts for
4 papers
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…
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…