Carr-Nadtochiy's Weak Reflection Principle for Markov Chains on Z^d

2018/09/30 by Yuri Imamura, Imamura, Yuri
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Markov Chains and Monte Carlo Methods #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.1810.00418

openalex publication_date 2018/09/30 · openalex created_date 2018/10/05 · openalex updated_date 2026/07/28

Abstract

The present paper establishes a discrete version of the result obtained by P. Carr and S. Nadtochiy (2011) for 1-dimensional diffusion processes. Our result is for Markov chains on Z^d.

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