Path-dependent martingale problems and additive functionals

DOI10.1142/S0219493719500278zbMath1418.60092arXiv1804.09417OpenAlexW2963239795MaRDI QIDQ5228829

Adrien Barrasso, Francesco Russo

Publication date: 13 August 2019

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.09417

zbMATH Keywords

path-dependent additive functionalspath-dependent martingale problems

Mathematics Subject Classification ID

Related Items (3)

Controlled Diffusion Mean Field Games with Common Noise and McKean--Vlasov Second Order Backward SDEs ⋮ Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes ⋮ Decoupled mild solutions of path-dependent PDEs and integro PDEs represented by BSDEs driven by cadlag martingales

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