We formulate and solve a class of Backward Stochastic Differential Equations (BSDEs) driven by the compensated random measure associated to a given marked point process on a general state space. We present basic well-posedness results in L 2 and in L 1 . We show that in the setting of point processes it is possible to solve the equation recursively, by replacing the BSDE by an ordinary differential equation in between jumps. Finally we address applications to optimal control of marked point processes, where the solution of a suitable BSDE allows to identify the value function and the optimal control. The talk is based on joint works with Marco Fuhrman and Jean Jacod.
- Mathematical and Computational Finance Seminar