On a class of Markov BSDEs with generalized driver

Elena Issoglio and Francesco Russo
submitted
Publication type:
Paper in peer-reviewed journals
arXiv:
images/icons/icon_arxiv.png 1805.02466
Keywords :
Backward stochastic differential equations (BSDEs); distributional driver; weak Dirichlet process; pointwise product; generalised and rough coefficient.
Abstract:
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.
BibTeX:
@article{Iss-Rus-2200,
    author={Elena Issoglio and Francesco Russo },
    title={On a class of Markov BSDEs with generalized driver },
    year={submitted },
    month={5},
}