Backward stochastic differential equations with regime-switching and sublinear expectations
Stochastic Processes and their Applications(2022)
摘要
This paper introduces a backward stochastic differential equation driven by both Brownian motion and a Markov chain (BSDEBM). Regime-switching is also incorporated through its driver. The existence and uniqueness of the solution of the BSDEBM are proved. A comparison theorem is also derived. Filtration consistent sublinear expectations are defined and characterized as solutions to the BSDEBM. The bid and ask prices are then represented using sublinear expectations.
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关键词
60H10,60J28
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