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Backward stochastic difference equations and nearly time-consistent nonlinear expectations

Abstract:: We consider backward stochastic difference equations (BSDEs) in discrete time with infinitely many states. This paper shows the existence and uniqueness of solutions to these equations in complete generality, and also derives a comparison theorem. Using these, time-consistent nonlinear evaluations and expectations are considered, and it is shown that every such evaluation or expectation corresponds to the solution of a BSDE without any requirements for continuity or boundedness. The implicati...
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APA Style

Cohen, S. N., & Elliott, R. (2011). Backward stochastic difference equations and nearly time-consistent nonlinear expectations. SIAM Journal on Control and Optimization, 49(1), 125–139.

MLA Style

Cohen, S. N., and R. Elliott. “Backward Stochastic Difference Equations and Nearly Time-Consistent Nonlinear Expectations.” SIAM Journal on Control and Optimization, vol. 49, no. 1, 2011, pp. 125–39.

Chicago Style

Cohen, SN, and R Elliott. 2011. “Backward Stochastic Difference Equations and Nearly Time-Consistent Nonlinear Expectations.” SIAM Journal on Control and Optimization 49 (1): 125–39.
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Publisher copy:: 10.1137/090763688

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Bibliographic Details

Journal:: SIAM Journal on Control and Optimization
Volume:: 49
Issue:: 1
Pages:: 125-139
Publication date:: 2011-01-01
DOI:: 10.1137/090763688
EISSN:: 1095-7138
ISSN:: 0363-0129

Item Description

Language:: English
Keywords:: BSDE

Nonlinear expectation

Time consistency
Pubs id:: pubs:302939
UUID:: uuid:1d615834-cda9-459c-9e11-5c40bc7feb17
Local pid:: pubs:302939
Source identifiers:: 302939
Deposit date:: 2012-12-19

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Copyright date:: 2011

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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