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.
Document type :
Preprints, Working Papers, ...
Liste complète des métadonnées

Cited literature [37 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-01566883
Contributor : Francesco Russo <>
Submitted on : Friday, July 21, 2017 - 1:29:55 PM
Last modification on : Wednesday, January 23, 2019 - 10:29:31 AM

Files

MarkovBSDEs_To_submit_SPAJuly2...
Files produced by the author(s)

Identifiers

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

Citation

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

Share

Metrics

Record views

189

Files downloads

52