A Feynman-Kac result via Markov BSDEs with generalized driver
Probability
2019-07-18 v2
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 -component of a couple solving the BSDE is not necessarily a semimartingale but a weak Dirichlet process.
Cite
@article{arxiv.1805.02466,
title = {A Feynman-Kac result via Markov BSDEs with generalized driver},
author = {Elena Issoglio and Francesco Russo},
journal= {arXiv preprint arXiv:1805.02466},
year = {2019}
}