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arxiv: 1805.02466 · v2 · pith:I6RCLVZOnew · submitted 2018-05-07 · 🧮 math.PR

A Feynman-Kac result via Markov BSDEs with generalized driver

classification 🧮 math.PR
keywords bsdesdriverfeynman-kacrelatedsensebsdecomponentcontains
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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 BSDEs. We introduce an integral operator to give sense to the equation and then we show the existence of a strong solution employing results on a related PDE.Due to the irregularity of the driver, the $Y$-component of a couple $(Y,Z)$ solving the BSDE is not necessarily a semimartingale but a weak Dirichlet process.

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