Special weak Dirichlet processes and BSDEs driven by a random measure
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Publication:1708976
DOI10.3150/17-BEJ937zbMath1429.60051arXiv1512.06234OpenAlexW2220734943MaRDI QIDQ1708976
Elena Bandini, Francesco Russo
Publication date: 27 March 2018
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1512.06234
backward stochastic differential equationsrandom measureweak Dirichlet processesstochastic integrals for jump processes
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Random measures (60G57)
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Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function, Stochastic reaction-diffusion equations driven by jump processes, Weak Dirichlet processes with jumps, Weak Dirichlet processes and generalized martingale problems, The identification problem for BSDEs driven by possibly non-quasi-left-continuous random measures, Constrained BSDEs Driven by a Non-Quasi-Left-Continuous Random Measure and Optimal Control of PDMPs on Bounded Domains
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