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Showing 2015 · math.PRShow all
3 papers · 2 filters
math.PR2015★ 2 cited
Weak Dirichlet processes with jumps
Elena Bandini, Francesco Russo
This paper develops systematically the stochastic calculus via regularization in the case of jump processes. In particular one continues the analysis of real-valued càdlàg weak Dir…
math.PR2015
Special weak Dirichlet processes and BSDEs driven by a random measure
Elena Bandini, Francesco Russo
This paper considers a forward BSDE driven by a random measure, when the underlying forward process X is special semimartingale, or even more generally, a special weak Dirichlet pr…
math.PR2015
Randomization method and backward SDEs for optimal control of partially observed path-dependent stochastic systems
Elena Bandini, Andrea Cosso, Marco Fuhrman +1
We consider a unifying framework for stochastic control problem including the following features: partial observation, path-dependence (both with respect to the state and the contr…