The identification problem for BSDEs driven by possibly non quasi-left-continuous random measures - Archive ouverte HAL Access content directly
Preprints, Working Papers, ... Year : 2020

The identification problem for BSDEs driven by possibly non quasi-left-continuous random measures

Elena Bandini
  • Function : Author
  • PersonId : 988665
Francesco Russo

Abstract

In this paper we focus on the so called identification problem for a backward SDE driven by a continuous local martingale and a possibly non quasi-left-continuous random measure. Supposing that a solution (Y, Z, U) of a backward SDE is such that $Y(t) = v(t, X(t))$ where X is an underlying process and v is a deterministic function, solving the identification problem consists in determining Z and U in term of v. We study the over-mentioned identification problem under various sets of assumptions and we provide a family of examples including the case when X is a non-semimartingale jump process solution of an SDE with singular coefficients.
Fichier principal
Vignette du fichier
Bandini_Russo_IdentificationProblem_Jan2020.pdf (319.55 Ko) Télécharger le fichier
Origin : Files produced by the author(s)
Loading...

Dates and versions

hal-02448562 , version 1 (22-01-2020)

Identifiers

Cite

Elena Bandini, Francesco Russo. The identification problem for BSDEs driven by possibly non quasi-left-continuous random measures. 2020. ⟨hal-02448562⟩

Collections

ENSTA
32 View
74 Download

Altmetric

Share

Gmail Facebook X LinkedIn More