Backward Stochastic Differential Equations with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations

Abstract

We discuss a class of Backward Stochastic Differential Equations(BSDEs) with no driving martingale. When the randomness of the driver depends on a general Markov process $X$, those BSDEs are denominated Markovian BSDEs and can be associated to a deterministic problem,called Pseudo-PDE which constitute the natural generalization of a parabolicsemilinear PDE which naturally appears when the underlying filtration is Brownian. We consider two aspects of well-posedness forthe Pseudo-PDEs: "classical" and "martingale" solutions.