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November 2018 Special weak Dirichlet processes and BSDEs driven by a random measure
Elena Bandini, Francesco Russo
Bernoulli 24(4A): 2569-2609 (November 2018). DOI: 10.3150/17-BEJ937

Abstract

This paper considers a forward BSDE driven by a random measure, when the underlying forward process $X$ is a 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.

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Elena Bandini. Francesco Russo. "Special weak Dirichlet processes and BSDEs driven by a random measure." Bernoulli 24 (4A) 2569 - 2609, November 2018. https://doi.org/10.3150/17-BEJ937

Information

Received: 1 December 2015; Revised: 1 December 2016; Published: November 2018
First available in Project Euclid: 26 March 2018

zbMATH: 06853258
MathSciNet: MR3779695
Digital Object Identifier: 10.3150/17-BEJ937

Rights: Copyright © 2018 Bernoulli Society for Mathematical Statistics and Probability

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Vol.24 • No. 4A • November 2018
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