On a class of Markov BSDEs with generalized driver
Résumé
We are concerned with BSDEs where the driver contains a distributional term (in the sense of generalised functions). We introduce an integral operator to give sense to the equation and then we show the existence of a strong solution. Because of the irregularity of the driver, the Y-component of a couple (Y, Z) solving the BSDE is not necessarily a semimartingale but a weak Dirichlet process.
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