Contractive approximations for the Varadhan's function on a finite Markov chain

Rolando Cavazos-Cadena, Rolando Cavazos-Cadena, Daniel Hernandez-Hernandez, Daniel Hernandez-Hernandez
2007 Teorija verojatnostej i ee primenenija  
9. Эллиотт P. Стохастический анализ и его приложения. М.: Мир, 1986, 351 с. 10. Kobylanski М. Backward stochastic differential equations and partial differential equa tions with quadratic growth. -Ann. Probab., 2000, v. 28, №2, p. 558-602. 11. Lepingle D., Memin J. Sur I'integrabilite uniforme des martingales exponentielles. -Z. Wahrscheinlichkeitstheor. Verw. Geb., 1978, v. 42, №3, p. 175-203. 12. Mania M., Santacroce M., Tevzadze R. A semimartingale BSDE related to the minimal entropy
more » ... le measure. -Finance Stoch., 2003, v. 7, №3, p. 385-402. 13. Mania M., Schweizer M. Dynamic exponential utility indifference valuation. -Ann. Appl. Probab., 2005, v. 15, №3, p. 2113-2143. 14. Mania M., Tevzadze R. A semimartingale Bellman equation and the variance-optimal martingale measure.
doi:10.4213/tvp182 fatcat:bedjyfpohjamvdib5escw2wfpe