Minimal supersolutions of BSDEs with lower semicontinuous generations

We study the existence and uniqueness of minimal supersolutions of backward stochastic differential equations with generators that are jointly lower semicontinuous, bounded below by an affine function of the control variable and satisfy a specific normalization property.

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Year of publication:	2011
Authors:	Heyne, Gregor ; Kupper, Michael ; Mainberger, Christoph
Publisher:	Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Subject:	Analysis \| Stochastischer Prozess \| Theorie \| supersolutions of backward stochastic differential equations \| semimartingale convergence \| nonlinear expectations

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Series:	SFB 649 Discussion Paper ; 2011-067
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	671183931 [GVK] hdl:10419/56718 [Handle] RePEc:zbw:sfb649:sfb649dp2011-067 [RePEc]
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C65 - Miscellaneous Mathematical Tools ; G11 - Portfolio Choice
Source:	EconStor

Persistent link: https://www.econbiz.de/10010281563