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Journal Articles Bernoulli Year : 2018

Special weak Dirichlet processes and BSDEs driven by a random measure

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.
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Dates and versions

hal-01241076 , version 1 (09-12-2015)
hal-01241076 , version 2 (16-12-2016)

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Elena Bandini, Francesco Russo. Special weak Dirichlet processes and BSDEs driven by a random measure. Bernoulli, 2018, 24 (4A), pp.2569-2609. ⟨10.3150/17-BEJ937⟩. ⟨hal-01241076v2⟩
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