Abstract
We define Backward Stochastic Difference Equations on spaces related to discrete time, finite state processes. Solutions exist and are unique under weaker assumptions than are needed in the continuous time setting. A comparison theorem for these solutions is also given. Applications to the theory of nonlinear expectations are explored, including a representation result.
Mathematics Subject Classification (2000). 60H10, 60G42, 65C30.
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Cohen, S.N., Elliott, R.J. (2011). Backward Stochastic Difference Equations with Finite States. In: Kohatsu-Higa, A., Privault, N., Sheu, SJ. (eds) Stochastic Analysis with Financial Applications. Progress in Probability, vol 65. Springer, Basel. https://doi.org/10.1007/978-3-0348-0097-6_3
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DOI: https://doi.org/10.1007/978-3-0348-0097-6_3
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