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Showing 2018 · math.PRShow all
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math.PR2018
A Feynman-Kac result via Markov BSDEs with generalized driver
Elena Issoglio, Francesco Russo
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…
math.PR2018
Path-dependent Martingale Problems and Additive Functionals
Adrien Barrasso, Francesco Russo
The paper introduces and investigates the natural extension to the path-dependent setup of the usual concept of canonical Markov class introduced by Dynkin and which is at the basi…