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Special weak Dirichlet processes and BSDEs driven by a random measure

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  • معلومة اضافية
    • Contributors:
      Bandini, E; Russo, F; Politecnico di Milano [Milan] (POLIMI); Unité de Mathématiques Appliquées (UMA); École Nationale Supérieure de Techniques Avancées (ENSTA Paris); Optimisation et commande (OC); École Nationale Supérieure de Techniques Avancées (ENSTA Paris)-École Nationale Supérieure de Techniques Avancées (ENSTA Paris); The second named author benefitedpartially from the support of the ``FMJH Program Gaspard Monge in optimizationand operation research' (Project 2014-1607H)
    • بيانات النشر:
      Bernoulli Society for Mathematical Statistics and Probability, 2018.
    • الموضوع:
      2018
    • نبذة مختصرة :
      This paper considers a forward BSDE driven by a random measure, when the underlying forward process $X$ is a 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.
    • File Description:
      ELETTRONICO; application/pdf
    • ISSN:
      1350-7265
    • الرقم المعرف:
      10.3150/17-bej937
    • Rights:
      OPEN
    • الرقم المعرف:
      edsair.doi.dedup.....81af89a7904c3521ab2137992b879e6c