Special weak Dirichlet processes and BSDEs driven by a random measure.
2018
Publication type:
Paper in peer-reviewed journals
Journal:
Bernoulli, vol. 24(4A), pp. 2569-2609
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Keywords :
Random measure; Stochastic integrals for jump processes;
Backward stochastic differential equations
Abstract:
This paper considers a forward BSDE driven by a random
measure, when the underlying forward process $X$ is
special semimartingale, or even more generally,
a special weak Dirichlet process.
Given a solution $(Y,Z,U)$, generally $Y$ appears to be
of the type $u(t,X_t)$ where $u$ is a deterministic function.
In this paper we identify $Z$ and $U$ in terms of $u$
applying stochastic calculus with respect to weak Dirichlet processes.
BibTeX:
@article{Ban-Rus-2018, author={Elena Bandini and Francesco Russo }, title={Special weak Dirichlet processes and BSDEs driven by a random measure. }, doi={10.3150/17-BEJ937 }, journal={Bernoulli }, year={2018 }, volume={24(4A) }, pages={2569--2609}, }