{"paper":{"title":"Backward Stochastic Differential Equations with Continuous Coefficients in a Markov Chain Model and with Applications to European Options","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"math.PR","authors_text":"Dimbinirina Ramarimbahoaka, Robert J. Elliott, Zhe Yang","submitted_at":"2014-04-08T17:20:47Z","abstract_excerpt":"In this paper we discuss backward stochastic differential equations with Markov chain noise, having continuous drivers. We obtain the existence of a solution which is possibly not unique. Moreover, we show there is a minimal solution for this kind of equation and derive the corresponding comparison result. This is applied to pricing of European options in a market with Markov chain noise."},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1404.2221","kind":"arxiv","version":3},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}