Backward Stochastic Differential Equations with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations

Abstract : We investigate existence and uniqueness for a new class of Backward Stochastic Differential Equations (BSDEs) with no driving martingale. When the randomness of the driver depends on a general Markov process X those BSDEs are denominated forward BSDEs and can be associated to a deter-ministic problem, called Pseudo-PDE which constitute the natural generalization of a parabolic semilinear PDE which naturally appears when the underlying filtration is Brownian. We consider two types of solutions for the Pseudo-PDEs: classical and of martingale type.
Type de document :
Pré-publication, Document de travail
2017
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https://hal.archives-ouvertes.fr/hal-01431559
Contributeur : Francesco Russo <>
Soumis le : mardi 7 mars 2017 - 06:40:05
Dernière modification le : mercredi 12 avril 2017 - 08:17:37

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  • HAL Id : hal-01431559, version 2
  • ARXIV : 1701.02899

Citation

Adrien Barrasso, Francesco Russo. Backward Stochastic Differential Equations with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations. 2017. <hal-01431559v2>

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