On the orthogonal component of BSDEs in a Markovian setting

DOI10.1016/J.SPL.2011.09.015zbMATH Open1231.60075arXiv0907.1071OpenAlexW1992678142MaRDI QIDQ654493FDOQ654493

Authors: Anthony Réveillac 

Publication date: 28 December 2011

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

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.

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

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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)

Cites Work

• Conjugate convex functions in optimal stochastic control
• Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
• Backward Stochastic Differential Equations in Finance
• Adapted solution of a backward stochastic differential equation
• Semimartingales and Markov processes
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• Explicit form and robustness of martingale representations.

Cited In (4)

• Existence and uniqueness results for BSDE with jumps: the whole nine yards
• Title not available (Why is that?)
• BSDEs, càdlàg martingale problems, and orthogonalization under basis risk
• Title not available (Why is that?)

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