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Backward Stochastic Differential Equations with Markov Chains and The Application: Homogenization of PDEs System
BSDE Markov chain weak convergence homogenization
2010/12/13
Stemmed from the derivation of the optimal control to a stochastic linearquadratic control problem with Markov jumps, we study one kind of backward stochastic differential equations (BSDEs) that the g...
