Show simple item record

On the orthogonal component of BSDEs in a Markovian setting

dc.contributor.authorRéveillac, Anthony
HAL ID: 745074
dc.date.accessioned2011-10-27T09:59:49Z
dc.date.available2011-10-27T09:59:49Z
dc.date.issued2012
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/7342
dc.language.isoenen
dc.subjectQuadratic growth BSDEsen
dc.subjectMartingale representation propertyen
dc.subjectMarkov processesen
dc.subject.ddc519en
dc.titleOn the orthogonal component of BSDEs in a Markovian settingen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenIn this note we consider a quadratic growth backward stochastic differential equation (BSDE) driven by a continuous martingale M. We prove (in Theorem 3.2) that if M is a strong Markov process and if the BSDE has the form (2.2) with regular data then the unique solution (Y,Z,N) of the BSDE is reduced to (Y,Z), i.e. the orthogonal martingale N is equal to zero, showing that in a Markovian setting the "usual" solution (Y,Z) (of a BSDE with regular data) has not to be completed by a strongly orthogonal component even if M does not enjoy the martingale representation property.en
dc.relation.isversionofjnlnameStatistics & Probability Letters
dc.relation.isversionofjnlvol82en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2012
dc.relation.isversionofjnlpages151-157en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.spl.2011.09.015en
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00635484/fr/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record