Backward stochastic differential equations with Markov chains and related asymptotic properties
Huaibin Tang, Zhen Wu · Advances in Difference Equations · 2013
This paper is concerned with the solvability of a new kind of backward stochastic differential equations whose generator f is affected by a finite-state Markov chain. We also present the asymptotic property of backward stochastic differential equations involving a singularly perturbed Markov chain with weak and strong interactions and then apply this result to the homogenization of a system of semilinear parabolic partial differential equations. MSC: 60H10, 35R60.