A generalized Girsanov transformation of finite state stochastic processes in discrete time

Samuel N. Cohen, Shaolin Ji and Shuzhen Yang

Statistics & Probability Letters, 2014, vol. 84, issue C, 33-39

Abstract: Cohen and Elliott (2010) introduced the backward stochastic difference equations (BSDEs) on spaces related to discrete time, finite state processes. Motivated by obtaining the explicit solution of a linear BSDE under their framework, we develop a new type of Girsanov transformation in this paper.

Keywords: Backward stochastic difference equations (BSDEs); Girsanov transformation; Signed measures (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spl.2013.09.025

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