The identification problem for BSDEs driven by possibly non quasi-left-continuous random measures
january, 2020
Publication type:
Paper in peer-reviewed journals
Journal:
Stochastics and Dynamics, vol. 20
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Keywords :
Piecewise deterministic Markov processes; Non quasi-left-continuous random measure; Weak Dirichlet processes; Identification problem; Martingale problem with jumps and distributional drift; Backward SDEs.
Abstract:
In this paper we focus on the so called ''identification problem'' for a backward SDE driven by a continuous local martingale
and a possibly non quasi-left-continuous random measure.
Supposing that a solution $(Y,Z, U)$ of a backward SDE
is such that $Y_t = v(t,X_t)$ where $X$ is an underlying process and
$v$ is a deterministic function, solving the identification problem consists
in determining $Z$ and $U$ in term 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.
BibTeX:
@article{Ban-Rus-2020, author={Elena Bandini and Francesco Russo }, title={The identification problem for BSDEs driven by possibly non quasi-left-continuous random measures }, doi={10.1142/S0219493720400110 }, journal={Stochastics and Dynamics }, year={2020 }, month={1}, volume={20 }, }