Work

Special weak Dirichlet processes and BSDEs driven by a random measure

Year: 2015

Type: preprint

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.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.1512.06234

Authors: Bandini, Elena, Russo, Francesco

Institutions: École Nationale Supérieure de Techniques Avancées, École Nationale Supérieure de Techniques Avancées Paris

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W4299506091

Cites:

Cited by:

Related to: 10