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 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.
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https://hal.archives-ouvertes.fr/hal-01241076
Contributor : Francesco Russo <>
Submitted on : Friday, December 16, 2016 - 10:16:36 PM
Last modification on : Tuesday, August 13, 2019 - 11:10:03 AM
Long-term archiving on : Monday, March 20, 2017 - 11:20:22 PM

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  • HAL Id : hal-01241076, version 2
  • ARXIV : 1512.06234

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Elena Bandini, Francesco Russo. Special weak Dirichlet processes and BSDEs driven by a random measure. 2016. ⟨hal-01241076v2⟩

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