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dc.contributor.authorRéveillac, Anthony
HAL ID: 745074
dc.subjectcontinuous Markov martingaleen
dc.subjectdifferentiability of BSDEsen
dc.subjectexistence of quadratic BSDEsen
dc.subjectMartingale representationen
dc.titleWeak martingale representation for continuous Markov processes and application to quadratic growth BSDEsen
dc.typeDocument de travail / Working paper
dc.description.abstractenIn this paper we prove that every random variable of the form $F(M_T)$ with $F:\real^d \to\real$ a Borelian map and $M$ a $d$-dimensional continuous Markov martingale with respect to a Markov filtration $\mathcal{F}$ admits an exact integral representation with respect to $M$, that is, without any orthogonal component. This representation holds true regardless any regularity assumption on $F$. We extend this result to Markovian quadratic growth BSDEs driven by $M$ and show they can be solved without an orthogonal component. To this end, we extend first existence results for such BSDEs under a general filtration and then obtain regularity properties such as differentiability for the solution process.en
dc.publisher.nameuniversité Paris-Dauphineen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen

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