Quantcast

Special weak Dirichlet processes and BSDEs driven by a random measure

Research paper by Elena Bandini, Francesco Russo

Indexed on: 19 Dec '15Published on: 19 Dec '15Published in: Mathematics - Probability



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.