BSDEs with no driving martingale, Markov processes and 
associated Pseudo Partial Differential Equations. Part II: Decoupled mild solutions and Examples.

Abstract : Let 
$(\mathbb{P}^{s,x})_{(s,x)\in[0,T]\times E}$ be a family of probability measures,
 where $E$ is a Polish space,
defined on the canonical probability space ${\mathbb D}([0,T],E)$
of $E$-valued cadlag functions. We suppose that a martingale problem with 
respect to a time-inhomogeneous generator $a$ is well-posed.
We consider also an associated semilinear {\it Pseudo-PDE}
% with generator $a$
 for which we introduce a notion of so called {\it decoupled mild} solution
 and study the equivalence with the
notion of martingale solution introduced in a companion paper.
We also investigate well-posedness for decoupled mild solutions and their
relations with a special class of BSDEs without driving martingale.
The notion of decoupled mild solution is a good candidate to replace the
notion of viscosity solution which is not always suitable
when the map $a$ is not a PDE operator.
Type de document :
Pré-publication, Document de travail
2017
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Contributeur : Francesco Russo <>
Soumis le : mercredi 12 avril 2017 - 08:12:24
Dernière modification le : jeudi 10 mai 2018 - 01:08:05
Document(s) archivé(s) le : jeudi 13 juillet 2017 - 12:12:31

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  • HAL Id : hal-01505974, version 1
  • ARXIV : 1704.03650

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Adrien Barrasso, Francesco Russo. BSDEs with no driving martingale, Markov processes and 
associated Pseudo Partial Differential Equations. Part II: Decoupled mild solutions and Examples.. 2017. 〈hal-01505974〉

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