On the orthogonal component of BSDEs in a Markovian setting

DOI10.1016/J.SPL.2011.09.015MaRDI QIDQ654493zbMATH OpenOpenAlexFDO

Authors Anthony Réveillac

Publication date 28 December 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0907.1071

zbMATH Keywords

Markov processesbackward stochastic differential equationmartingale representation propertyquadratic growth

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: In this Note we consider a quadratic backward stochastic differential equation (BSDE) driven by a continuous martingale $M$ and whose generator is a deterministic function. We prove (in Theorem ef{theorem:main}) that if $M$ is a strong homogeneous Markov process and if the BSDE has the form eqref{BSDE} then the unique solution $(Y,Z,N)$ of the BSDE is reduced to $(Y,Z)$, extit{i.e.} the orthogonal martingale $N$ is equal to zero showing that in a Markovian setting the "usual" solution $(Y,Z)$ has not to be completed by a strongly orthogonal even if $M$ does not enjoy the martingale representation property.

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Cites work

• scientific article; zbMATH DE number 1066313 (Why is no real title available?)
• Adapted solution of a backward stochastic differential equation
• Backward Stochastic Differential Equations in Finance
• Conjugate convex functions in optimal stochastic control
• Explicit form and robustness of martingale representations.
• Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
• Semimartingales and Markov processes

Cited in

(4)

• scientific article; zbMATH DE number 5637982 (Why is no real title available?)
• BSDEs, càdlàg martingale problems, and orthogonalization under basis risk
• Existence and uniqueness results for BSDE with jumps: the whole nine yards
• scientific article; zbMATH DE number 5590543 (Why is no real title available?)

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