Backward stochastic differential equations with Markov chains and related asymptotic properties

Advances in Difference Equations

Huaibin Tang¹  Zhen Wu² 

[1] School of Information Science and Engineering, Shandong University, Jinan, P.R. China;School of Mathematics, Shandong University, Jinan, P.R. China

关键词: BSDE;    Markov chain;    weak convergence;    homogenization;   

DOI  :  10.1186/1687-1847-2013-285

学科分类：数学（综合）

来源: SpringerOpen

【 摘 要 】

This paper is concerned with the solvability of a new kind of backward stochastic differential equations whose generator f is affected by a finite-state Markov chain. We also present the asymptotic property of backward stochastic differential equations involving a singularly perturbed Markov chain with weak and strong interactions and then apply this result to the homogenization of a system of semilinear parabolic partial differential equations. MSC:60H10, 35R60.

【 授权许可】

CC BY