Martingale driven BSDEs, PDEs and other related deterministic problems

Adrien Barrasso; Francesco Russo

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arXiv · 1707.07879

Martingale driven BSDEs, PDEs and other related deterministic problems

Adrien Barrasso·Francesco Russo

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Abstract

We focus on a class of BSDEs driven by a cadlag martingale and corresponding Markov type BSDE which arise when the randomness of the driver appears through a Markov process. To those BSDEs we associate a deterministic problem which, when the Markov process is a Brownian diffusion, is nothing else but a parabolic type PDE. The solution of the deterministic problem is intended as decoupled mild solution, and it is formulated with the help of a time-inhomogeneous semigroup.

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Adrien Barrasso, Francesco Russo. 2017-07-25. Martingale driven BSDEs, PDEs and other related deterministic problems. https://arxiv.org/abs/1707.07879

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