On a class of Markov BSDEs with generalized driver - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2018

On a class of Markov BSDEs with generalized driver

Elena Issoglio
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Francesco Russo

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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Dates et versions

hal-01786119 , version 1 (05-05-2018)
hal-01786119 , version 2 (16-07-2019)

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Citer

Elena Issoglio, Francesco Russo. On a class of Markov BSDEs with generalized driver. 2018. ⟨hal-01786119v1⟩
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