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

LUISS Roma
LUISS University
Université Paris-Saclay

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

11 Citations (Scopus)

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

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10.3150/17-BEJ937

Cite this

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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.

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KW - Stochastic integrals for jump processes

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Special weak Dirichlet processes and BSDEs driven by a random measure

Abstract

Keywords

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