Martingale driven BSDEs, PDEs and other related deterministic problems

Abstract : We focus on a class of BSDEs driven by a cadlag martingale and corresponding Markov type BSDE which arise when the randomness of the driver appears through a Markov process. To those BSDEs we associate a deterministic problem which, when the Markov process is a Brownian diffusion, is nothing else but a parabolic type PDE. The solution of the deterministic problem is intended as decoupled mild solution, and it is formulated with the help of a time-inhomogeneous semigroup.
Type de document :
Pré-publication, Document de travail
2017
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https://hal.archives-ouvertes.fr/hal-01566883
Contributeur : Francesco Russo <>
Soumis le : vendredi 21 juillet 2017 - 13:29:55
Dernière modification le : vendredi 4 août 2017 - 14:02:43

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  • HAL Id : hal-01566883, version 1
  • ARXIV : 1707.07879

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Adrien Barrasso, Francesco Russo. Martingale driven BSDEs, PDEs and other related deterministic problems. 2017. <hal-01566883>

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