Special weak Dirichlet processes and BSDEs driven by a random measure

Elena Bandini; Francesco Russo

doi:10.3150/17-BEJ937

Special weak Dirichlet processes and BSDEs driven by a random measure

Elena Bandini
, Francesco Russo

Research output: Contribution to journal › Article › peer-review

Abstract

This paper considers a forward BSDE driven by a random measure, when the underlying forward process X is a special semimartingale, or even more generally, a special weak Dirichlet process. Given a solution (Y,Z,U), generally Y appears to be of the type u(t,X_t) where u is a deterministic function. In this paper, we identify Z and U in terms of u applying stochastic calculus with respect to weak Dirichlet processes.

Original language	English
Pages (from-to)	2429-2460
Number of pages	32
Journal	Bernoulli
Volume	24
Issue number	4A
DOIs	https://doi.org/10.3150/17-BEJ937
Publication status	Published - 1 Nov 2018
Externally published	Yes

Keywords

Backward stochastic differential equations
Random measure
Stochastic integrals for jump processes
Weak Dirichlet processes

Access to Document

10.3150/17-BEJ937

Cite this

@article{e5cc0d0b1bf9485f97d200013a1030f4,

title = "Special weak Dirichlet processes and BSDEs driven by a random measure",

abstract = "This paper considers a forward BSDE driven by a random measure, when the underlying forward process X is a special semimartingale, or even more generally, a special weak Dirichlet process. Given a solution (Y,Z,U), generally Y appears to be of the type u(t,Xt) where u is a deterministic function. In this paper, we identify Z and U in terms of u applying stochastic calculus with respect to weak Dirichlet processes.",

keywords = "Backward stochastic differential equations, Random measure, Stochastic integrals for jump processes, Weak Dirichlet processes",

author = "Elena Bandini and Francesco Russo",

note = "Publisher Copyright: {\textcopyright} 2018 ISI/BS.",

year = "2018",

month = nov,

day = "1",

doi = "10.3150/17-BEJ937",

language = "English",

volume = "24",

pages = "2429--2460",

journal = "Bernoulli",

issn = "1350-7265",

number = "4A",

}

TY - JOUR

T1 - Special weak Dirichlet processes and BSDEs driven by a random measure

AU - Bandini, Elena

AU - Russo, Francesco

PY - 2018/11/1

Y1 - 2018/11/1

N2 - This paper considers a forward BSDE driven by a random measure, when the underlying forward process X is a special semimartingale, or even more generally, a special weak Dirichlet process. Given a solution (Y,Z,U), generally Y appears to be of the type u(t,Xt) where u is a deterministic function. In this paper, we identify Z and U in terms of u applying stochastic calculus with respect to weak Dirichlet processes.

AB - This paper considers a forward BSDE driven by a random measure, when the underlying forward process X is a special semimartingale, or even more generally, a special weak Dirichlet process. Given a solution (Y,Z,U), generally Y appears to be of the type u(t,Xt) where u is a deterministic function. In this paper, we identify Z and U in terms of u applying stochastic calculus with respect to weak Dirichlet processes.

KW - Backward stochastic differential equations

KW - Random measure

KW - Stochastic integrals for jump processes

KW - Weak Dirichlet processes

U2 - 10.3150/17-BEJ937

DO - 10.3150/17-BEJ937

M3 - Article

AN - SCOPUS:85045905973

SN - 1350-7265

VL - 24

SP - 2429

EP - 2460

JO - Bernoulli

JF - Bernoulli

IS - 4A

ER -

Special weak Dirichlet processes and BSDEs driven by a random measure

Abstract

Keywords

Access to Document

Fingerprint

Cite this