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The identification problem for BSDEs driven by possibly non-quasi-left-continuous random measures
Stochastics and Dynamics ( IF 0.8 ) Pub Date : 2020-09-18 , DOI: 10.1142/s0219493720400110
Elena Bandini 1 , Francesco Russo 2
Affiliation  

In this paper, we focus on the so-called identification problem for a BSDE driven by a continuous local martingale and a possibly non-quasi-left-continuous random measure. Supposing that a solution [Formula: see text] of a BSDE is such that [Formula: see text] where [Formula: see text] is an underlying process and [Formula: see text] is a deterministic function, solving the identification problem consists in determining [Formula: see text] and [Formula: see text] in terms of [Formula: see text]. We study the over-mentioned identification problem under various sets of assumptions and we provide a family of examples including the case when [Formula: see text] is a non-semimartingale jump process solution of an SDE with singular coefficients.

中文翻译:

由可能的非准左连续随机测量驱动的 BSDE 的识别问题

在本文中,我们关注由连续局部鞅和可能的非准左连续随机测度驱动的 BSDE 的所谓识别问题。假设一个 BSDE 的解 [公式:见文本] 使得 [公式:见文本] 其中 [公式:见文本] 是一个基础过程,而 [公式:见文本] 是一个确定性函数,解决识别问题包括根据[公式:见文本]确定[公式:见文本]和[公式:见文本]。我们研究了各种假设下的上述识别问题,并提供了一系列示例,包括 [公式:见文本] 是具有奇异系数的 SDE 的非半鞅跳跃过程解的情况。
更新日期:2020-09-18
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