Backward stochastic difference equations and nearly time-consistent nonlinear expectations

We consider backward stochastic difference equations (BSDEs) in discrete time with infinitely many states. This paper shows the existence and uniqueness of solutions to these equations in complete generality, and also derives a comparison theorem. Using these, time-consistent nonlinear evaluations a...

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Bibliographic Details
Main Authors: Cohen, SN, Elliott, R
Format: Journal article
Language:English
Published: 2011