Special weak Dirichlet processes and BSDEs driven by a random measure.

to appear
Publication type:
Paper in peer-reviewed journals
Journal:
Bernoulli Journal
arXiv:
images/icons/icon_arxiv.png 1512.06234
Keywords :
Random measure; Stochastic integrals for jump processes; Backward stochastic differential equations
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.
BibTeX:
@article{Ban-Rus-2100,
    author={Elena Bandini and Francesco Russo },
    title={Special weak Dirichlet processes and BSDEs driven by a random 
           measure. },
    journal={Bernoulli Journal },
    year={to appear },
}