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,Xt) 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
Bandini, E., Russo, F. (2018). Special weak Dirichlet processes and BSDEs driven by a random measure. BERNOULLI, 24(4A), 2569-2609 [10.3150/17-BEJ937].
Special weak Dirichlet processes and BSDEs driven by a random measure
Bandini, E;
2018
Abstract
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,Xt) 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 processesFile in questo prodotto:
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