Minimal Supersolutions of BSDEs with Lower Semicontinuous Generators

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:	2011-10-19
Authors:	Heyne, Gregor ; Kupper, Michael ; Mainberger, Christoph
Publisher:	Humboldt University Berlin, Germany
Subject:	Wirtschaft \| Supersolutions of Backward Stochastic Differential Equations \| Semimartingale Convergence \| Nonlinear Expectations

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Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Report
Language:	English
Source:	BASE

Persistent link: https://www.econbiz.de/10009467129