Cohen, Samuel N.; Elliott, Robert J. - In: Stochastic Processes and their Applications 120 (2010) 4, pp. 442-466
By analogy with the theory of Backward Stochastic Differential Equations, we define Backward Stochastic Difference Equations on spaces related to discrete time, finite state processes. This paper considers these processes as constructions in their own right, not as approximations to the...