A Feynman-Kac result via Markov BSDEs with generalized driver

Abstract : In this paper we investigate BSDEs where the driver contains a distributional term (in the sense of generalised functions) and derive general Feynman-Kac formulae related to these BSDEs. We introduce an integral operator to give sense to the equation and then we show the existence of a strong solution employing results on a related PDE. Due to the irregularity of the driver, the $Y$-component of a couple $(Y,Z)$ solving the BSDE is not necessarily a semimartingale but a weak Dirichlet process.
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https://hal.archives-ouvertes.fr/hal-01786119
Contributor : Francesco Russo <>
Submitted on : Tuesday, March 12, 2019 - 7:29:43 PM
Last modification on : Wednesday, April 3, 2019 - 12:32:25 PM

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  • HAL Id : hal-01786119, version 2
  • ARXIV : 1805.02466

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Elena Issoglio, Francesco Russo. A Feynman-Kac result via Markov BSDEs with generalized driver. 2019. 〈hal-01786119v2〉

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