A Feynman-Kac result via Markov BSDEs with generalised drivers

DOI10.3150/19-BEJ1150zbMATH Open1462.60075arXiv1805.02466MaRDI QIDQ2278678

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Publication date: 5 December 2019

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Abstract: In this paper we investigate BSDEs where the driver contains a distributional term (in the sense of generalised functions) and derive general Feynman-Kac formulae related to these BSDEs. We introduce an integral operator to give sense to the equation and then we show the existence of a strong solution employing results on a related PDE.Due to the irregularity of the driver, the $Y$-component of a couple $(Y,Z)$ solving the BSDE is not necessarily a semimartingale but a weak Dirichlet process.

Full work available at URL: https://arxiv.org/abs/1805.02466

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