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In this paper we discuss backward stochastic differential equations withMarkov chain noise, having continuous drivers. We obtain the existence of asolution which is possibly not unique. Moreover, we show there is a minimalsolution for this kind of equation and derive the corresponding comparisonresult. This is applied to pricing of European options in a market with Markovchain noise.

Backward Stochastic Differential Equations with Continuous Coefficients in a Markov Chain Model and with Applications to European Options