Decoupled mild solutions of path-dependent PDEs and integro PDEs represented by BSDEs driven by cadlag martingales

DOI10.1007/s11118-019-09775-xzbMath1453.60114arXiv1804.08903OpenAlexW2963836988WikidataQ114223730 ScholiaQ114223730MaRDI QIDQ778789

Adrien Barrasso, Francesco Russo

Publication date: 20 July 2020

Published in: Potential Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.08903

zbMATH Keywords

identification problembackward stochastic differential equationmartingale problempath-dependent PDEscadlag martingaledecoupled mild solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (9)

Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes ⋮ Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations ⋮ Comparison principles for nonlocal Hamilton-Jacobi equations ⋮ Viscosity solutions to second order path-dependent Hamilton-Jacobi-Bellman equations and applications ⋮ Nonlinear BSDEs on a general filtration with drivers depending on the martingale part of the solution ⋮ Survey on path-dependent PDEs ⋮ The identification problem for BSDEs driven by possibly non-quasi-left-continuous random measures ⋮ Path-dependent martingale problems and additive functionals ⋮ Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation

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