Martingale driven BSDEs, PDEs and other related deterministic problems
Probability
2020-11-30 v2
Abstract
We focus on a class of BSDEs driven by a cadlag martingale and corresponding Markov type BSDE which arise when the randomness of the driver appears through a Markov process. To those BSDEs we associate a deterministic problem which, when the Markov process is a Brownian diffusion, is nothing else but a parabolic type PDE. The solution of the deterministic problem is intended as decoupled mild solution, and it is formulated with the help of a time-inhomogeneous semigroup.
Keywords
Cite
@article{arxiv.1707.07879,
title = {Martingale driven BSDEs, PDEs and other related deterministic problems},
author = {Adrien Barrasso and Francesco Russo},
journal= {arXiv preprint arXiv:1707.07879},
year = {2020}
}