A Feynman-Kac result via Markov BSDEs with generalised drivers
january, 2020
Publication type:
Paper in peer-reviewed journals
Journal:
Bernoulli, vol. 26, pp. 728-766
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Keywords :
Backward stochastic differential equations (BSDEs); distributional driver; weak Dirichlet process; pointwise product; generalised and rough coefficient; Feynman-Kac formula.
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.
BibTeX:
@article{Iss-Rus-2020, author={Elena Issoglio and Francesco Russo }, title={A Feynman-Kac result via Markov BSDEs with generalised drivers }, doi={10.3150/19-BEJ1150 }, journal={Bernoulli }, year={2020 }, month={1}, volume={26 }, pages={728--766}, }