Fully Coupled Forward-backward Stochastic Differential Equations on Markov Chains
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🧮 math.PR
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chainscoupleddifferentialequationsforward-backwardfullymarkovstochastic
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We define fully coupled forward-backward stochastic differential equations on spaces related to continuous time, finite state Markov Chains. Existence and uniqueness results of the fully coupled forward-backward stochastic differential equations on Markov Chains are obtained.
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