2018/05/07 by Elena Issoglio, Issoglio, Elena, Francesco Russo +1
Economics, Econometrics and Finance · Mathematics · #Stochastic processes and financial applications #advanced mathematical theories #Mathematical Dynamics and Fractals
paper · pdf · doi:10.48550/arxiv.1805.02466
In this paper we investigate BSDEs where the driver contains a distributional term (in the sense of generalised functions) and derive general Feynman-Kac formulae related to these BSDEs. We introduce an integral operator to give sense to the equation and then we show the existence of a strong solution employing results on a related PDE.Due to the irregularity of the driver, the Y-component of a couple (Y,Z) solving the BSDE is not necessarily a semimartingale but a weak Dirichlet process.