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

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

11 Citations (Scopus)

Résumé

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.

langue originale	Anglais
Pages (de - à)	2429-2460
Nombre de pages	32
journal	Bernoulli
Volume	24
Numéro de publication	4A
Les DOIs	https://doi.org/10.3150/17-BEJ937
état	Publié - 1 nov. 2018
Modification externe	Oui

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10.3150/17-BEJ937

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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.",

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Special weak Dirichlet processes and BSDEs driven by a random measure

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