Backward Stochastic Difference Equations for a Single Jump Process

Leo Shen () and Robert J. Elliott ()
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Leo Shen: University of Adelaide
Robert J. Elliott: University of Adelaide

Methodology and Computing in Applied Probability, 2012, vol. 14, issue 4, 955-971

Abstract: Abstract We define Backward Stochastic Difference Equations related to a discrete finite time single jump process. We prove the existence and uniqueness of solutions under some assumptions. A comparison theorem for these solutions is also given. Applications to the theory of nonlinear expectations are then investigated. In this paper the single jump process takes values in a general measurable space where as previous work has considered the situation where the noise is a finite state Markov chain, so the state space is finite.

Keywords: Single jump process; BSDE; Comparison theorem; Non-linear expectation; Dynamic risk measure; 60H10; 60G42; 65C30 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s11009-011-9217-z

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