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.

Bandini, E., Russo, F. (2020). The identification problem for BSDEs driven by possibly non-quasi-left-continuous random measures. STOCHASTICS AND DYNAMICS, 20(6) [10.1142/S0219493720400110].

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

Bandini E.;
2020

Abstract

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.
Articolo in rivista - Articolo scientifico
BSDEs; identification problem; martingale problem with jumps and distributional drift; non-quasi-left-continuous random measure; piecewise deterministic Markov processes; weak Dirichlet processes;
English
2020
20
6
2040011
reserved
Bandini, E., Russo, F. (2020). The identification problem for BSDEs driven by possibly non-quasi-left-continuous random measures. STOCHASTICS AND DYNAMICS, 20(6) [10.1142/S0219493720400110].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/293899
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