Special weak Dirichlet processes and BSDEs driven by a random measure
Probability
2016-12-20 v2
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.
Cite
@article{arxiv.1512.06234,
title = {Special weak Dirichlet processes and BSDEs driven by a random measure},
author = {Elena Bandini and Francesco Russo},
journal= {arXiv preprint arXiv:1512.06234},
year = {2016}
}