We are not able to resolve this OAI Identifier to the repository landing page. If you are the repository manager for this record, please head to the Dashboard and adjust the settings.
Most previous contributions to BSDEs, and the related theories of nonlinear expectation and dynamic risk measures, have been in the framework of continuous time diffusions or jump diffusions. Using solutions of BSDEs on spaces related to finite state, continuous time Markov chains, we develop a theory of nonlinear expectations in the spirit of [Dynamically consistent nonlinear evaluations and expectations (2005) Shandong Univ.]. We prove basic properties of these expectations and show their applications to dynamic risk measures on such spaces. In particular, we prove comparison theorems for scalar and vector valued solutions to BSDEs, and discuss arbitrage and risk measures in the scalar case.Samuel N. Cohen and Robert J. Elliot
Is data on this page outdated, violates copyrights or anything else? Report the problem now and we will take corresponding actions after reviewing your request.