Carr-Nadtochiy's Weak Reflection Principle for Markov Chains on $\mathbf{Z}^d$

Yuri Imamura

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arXiv · 1810.00418

Carr-Nadtochiy's Weak Reflection Principle for Markov Chains on $\mathbf{Z}^d$

Yuri Imamura

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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 $\mathbf{Z}^d$.

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Yuri Imamura. 2018-09-30. Carr-Nadtochiy's Weak Reflection Principle for Markov Chains on $\mathbf{Z}^d$. https://arxiv.org/abs/1810.00418

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