Ergodic BSDEs Driven by Markov Chains.

Samuel N. Cohen Ying Hu

Published in: SIAM J. Control. Optim. (2013)

Keyphrases

markov chain
steady state
stationary distribution
finite state
markov process
state space
stochastic process
markov model
random walk
transition probabilities
stochastic differential equations
markov processes
transition matrix
parameter estimation
state dependent
maximum a posteriori estimation