Article ID Journal Published Year Pages File Type
1152766 Statistics & Probability Letters 2014 7 Pages PDF
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
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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A generalized Girsanov transformation of finite state stochastic processes in discrete time
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