Martingale driven BSDEs, PDEs and other related deterministic problems

submitted
Publication type:
Paper in peer-reviewed journals
arXiv:
images/icons/icon_arxiv.png 1707.07879
Keywords :
Decoupled mild solutions; Martingale problem; cadlag martingale; pseudo-PDE; Markov processes; backward stochastic differential equation.
Abstract:
We focus on a class of BSDEs driven by a cadlag martingale and corresponding Markov type BSDE which arise when the randomness of the driver appears through a Markov process. To those BSDEs we associate a deterministic problem which, when the Markov process is a Brownian diffusion, is nothing else but a parabolic type PDE. The solution of the deterministic problem is intended as decoupled mild solution, and it is formulated with the help of a time-inhomogeneous semigroup.
BibTeX:
@article{Bar-Rus-2200-2,
    author={Adrien Barrasso and Francesco Russo },
    title={Martingale driven BSDEs, PDEs and other related deterministic 
           problems },
    year={submitted },
    month={7},
}