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• W2144659059 abstract "We study (backward) stochastic differential equations with noise coming from a finite state Markov chain. We show that, for the solutions of these equations to be `Markovian', in the sense that they are deterministic functions of the state of the underlying chain, the integrand must be of a specific form. This allows us to connect these equations to coupled systems of ODEs, and hence to give fast numerical methods for the evaluation of Markov-Chain BSDEs." @default.
• W2144659059 created "2016-06-24" @default.
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• W2144659059 date "2012-05-01" @default.
• W2144659059 modified "2023-09-23" @default.
• W2144659059 title "On Markovian solutions to Markov Chain BSDEs" @default.
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• W2144659059 doi "https://doi.org/10.3934/naco.2012.2.257" @default.
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