Martingale representations for diffusion processes and backward stochastic differential equations

DOI10.1007/978-3-642-27461-9_4MaRDI QIDQ2906156zbMATH OpenOpenAlexFDO

Publication date 29 August 2012

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0910.4911

backward SDE Dirichlet form Hunt process martingale natural filtration non-linear equations

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Probabilistic potential theory (60J45)

Abstract: In this paper we explain that the natural filtration of a continuous Hunt process is continuous, and show that martingales over such a filtration are continuous. We further establish a martingale representation theorem for a class of continuous Hunt processes under certain technical conditions. In particular we establish the martingale representation theorem for the martingale parts of (reflecting) symmetric diffusions in a bounded domain with a continuous boundary. Together with an approach put forward in Lyons et al(2009), our martingale representation theorem is then applied to the study of initial and boundary problems for quasi-linear parabolic equations by using solutions to backward stochastic differential equations over the filtered probability space determined by reflecting diffusions in a bounded domain with only continuous boundary.

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