Special weak Dirichlet processes and BSDEs driven by a random measure
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Publication:1708976
DOI10.3150/17-BEJ937zbMath1429.60051arXiv1512.06234OpenAlexW2220734943MaRDI QIDQ1708976
Elena Bandini, Francesco Russo
Publication date: 27 March 2018
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1512.06234
backward stochastic differential equationsrandom measureweak Dirichlet processesstochastic integrals for jump processes
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Random measures (60G57)
Related Items (6)
Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function ⋮ Stochastic reaction-diffusion equations driven by jump processes ⋮ Weak Dirichlet processes with jumps ⋮ Weak Dirichlet processes and generalized martingale problems ⋮ The identification problem for BSDEs driven by possibly non-quasi-left-continuous random measures ⋮ Constrained BSDEs Driven by a Non-Quasi-Left-Continuous Random Measure and Optimal Control of PDMPs on Bounded Domains
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