Path-dependent martingale problems and additive functionals

DOI10.1142/S0219493719500278MaRDI QIDQ5228829zbMATH OpenOpenAlexFDO

Authors Adrien Barrasso, Francesco Russo

Publication date 13 August 2019

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

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

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)

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.

Recommendations

• On viscosity solutions of path dependent PDEs
• Limit theorems for additive functionals of path-dependent SDEs
• An infinite-dimensional approach to path-dependent Kolmogorov equations
• Path independence of the additive functionals for Mckean-Vlasov stochastic differential equations with jumps
• Overview

Cites work

• scientific article; zbMATH DE number 4013689 (Why is no real title available?)
• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• scientific article; zbMATH DE number 4060392 (Why is no real title available?)
• scientific article; zbMATH DE number 3727272 (Why is no real title available?)
• scientific article; zbMATH DE number 3505964 (Why is no real title available?)
• scientific article; zbMATH DE number 1351867 (Why is no real title available?)
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• scientific article; zbMATH DE number 3245885 (Why is no real title available?)
• A functional extension of the Ito formula
• Backward stochastic differential equations with no driving martingale, Markov processes and associated pseudo-partial differential equations. II: Decoupled mild solutions and examples
• Calcul stochastique et problèmes de martingales
• Decoupled mild solutions of path-dependent PDEs and integro PDEs represented by BSDEs driven by cadlag martingales
• Dynamic risk measures and path-dependent second order PDEs
• Fonctionnelles multiplicatives et additives de Markov
• Functional Itô calculus
• Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations
• Markov processes with identical hitting distributions
• Martingale driven BSDEs, PDEs and other related deterministic problems
• Multidimensional diffusion processes.
• Strong-viscosity solutions: classical and path-dependent PDEs

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

This page was built for publication: Path-dependent martingale problems and additive functionals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5228829)