Existence and uniqueness for backward stochastic differential equations driven by a random measure, possibly non quasi-left continuous

DOI10.1214/ECP.V20-4348zbMATH Open1329.60172arXiv1506.02249OpenAlexW1858204772MaRDI QIDQ894497FDOQ894497

Elena Bandini

Publication date: 1 December 2015

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: We study the following backward stochastic differential equation on finite time horizon driven by an integer-valued random measure $mu$ on $mathbb{R}_{+}imesE$, where $E$ is a Lusin space, with compensator $u(dt,dx)=d{A}_t,ph{i}_t(dx)$: [ Y_t = xi + int_{(t,T]} f(s,Y_{s-},Z_s(cdot)), d A_s - int_{(t,T]} int_E Z_s(x) , (mu- u)(ds,dx),qquad 0leq tleq T. ] The generator $f$ satisfies, as usual, a uniform Lipschitz condition with respect to its last two arguments. In the literature, the existence and uniqueness for the above equation in the present general setting has only been established when $A$ is continuous or deterministic. The general case, i.e. $A$ is a right-continuous nondecreasing predictable process, is addressed in this paper. These results are relevant, for example, in the study of control problems related to Piecewise Deterministic Markov Processes (PDMPs). Indeed, when $mu$ is the jump measure of a PDMP, then $A$ is predictable (but not deterministic) and discontinuous, with jumps of size equal to 1.

Full work available at URL: https://arxiv.org/abs/1506.02249

zbMATH Keywords

backward stochastic differential equationsrandom measures

Mathematics Subject Classification ID

Random measures (60G57) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (20)

• Existence and uniqueness results for BSDE with jumps: the whole nine yards
• Ong−evaluations with domains under jump filtration
• Linear-quadratic optimal control under non-Markovian switching
• \(\mathbb L^p\) solutions of backward stochastic differential equations with jumps
• The identification problem for BSDEs driven by possibly non-quasi-left-continuous random measures
• Optimal control of semi-Markov processes with a backward stochastic differential equations approach
• Existence and uniqueness result for a backward stochastic differential equation whose generator is Lipschitz continuous in \(y\) and uniformly continuous in \(z\)
• Special weak Dirichlet processes and BSDEs driven by a random measure
• Optimal stopping of marked point processes and reflected backward stochastic differential equations
• On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples
• Time-dynamic evaluations under non-monotone information generated by marked point processes
• Backward stochastic differential equation with random measures
• \(L^p\) solution of backward stochastic differential equations driven by a marked point process
• Weak Dirichlet processes with jumps
• Title not available (Why is that?)
• Constrained BSDEs Driven by a Non-Quasi-Left-Continuous Random Measure and Optimal Control of PDMPs on Bounded Domains
• Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function
• Scaling limit for stochastic control problems in population dynamics
• Reflections on BSDEs
• Martingale driven BSDEs, PDEs and other related deterministic problems

This page was built for publication: Existence and uniqueness for backward stochastic differential equations driven by a random measure, possibly non quasi-left continuous

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q894497)