Path-dependent martingale problems and additive functionals

DOI10.1142/S0219493719500278zbMATH Open1418.60092arXiv1804.09417OpenAlexW2963239795MaRDI QIDQ5228829FDOQ5228829

Authors: Adrien Barrasso, Francesco Russo 

Publication date: 13 August 2019

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

Abstract: The paper introduces and investigates the natural extension to the path-dependent setup of the usual concept of canonical Markov class introduced by Dynkin and which is at the basis of the theory of Markov processes. That extension, indexed by starting paths rather than starting points will be called path-dependent canonical class. Associated with this is the generalization of the notions of semi-group and of additive functionals to the path-dependent framework. A typical example of such family is constituted by the laws $$eta$$ , where for fixed time s and fixed path $eta$ defined on [0, s], $$eta$$ being the (unique) solution of a path-dependent martingale problem or more specifically a weak solution of a path-dependent SDE with jumps, with initial path $eta$. In a companion paper we apply those results to study path-dependent analysis problems associated with BSDEs.

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

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zbMATH Keywords

path-dependent additive functionalspath-dependent martingale problems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Transition functions, generators and resolvents (60J35) Pseudodifferential operators as generalizations of partial differential operators (35S05)

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Cited In (4)

• Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes
• Overview
• Decoupled mild solutions of path-dependent PDEs and integro PDEs represented by BSDEs driven by cadlag martingales
• Controlled diffusion mean field games with common noise and McKean-Vlasov second order backward SDEs

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