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20172020
most citedA note on time-dependent additive functionals

1 citations · 1 across the 2 of their papers we have counts for

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Showing 2018Show all

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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…

math.PR2018

Decoupled mild solutions of path-dependent PDEs and IPDEsrepresented by BSDEs driven by cadlag martingales

Adrien Barrasso, Francesco Russo

We focus on a class of path-dependent problems which include path-dependent (possibly Integro) PDEs, and their representation via BSDEs driven by a cadlag martingale. For those equ…