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

World Scientific 2020

In this paper, we focus on the so-called identification problem for a BSDE driven by a continuous local martingale and a possibly non-quasi-left-continuous random measure. Supposing that a solution (Y,Z,U) of a BSDE is such that Yt = v(t,Xt), where X is an underlying process and v is a deterministic function, solving the identification problem consists in determining Z and U in terms 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.

BSDE; identification problem; martingale problem with jumps and distributional drift; non-quasi-left-continuous random measure; piecewise deterministic Markov processe; weak Dirichlet processe; info:eu-repo/semantics/article

Open access content. Open access content
info:eu-repo/semantics/closedAccess

English

ITBAO oai:boa.unimib.it:10281/293899
10.1142/S0219493720400110
info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-85092903316
1308937007

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