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.

MoreLess

Year of publication:	2011-10
Authors:	Heyne, Gregor ; Kupper, Michael ; Mainberger, Christoph
Institutions:	Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
Subject:	Supersolutions of Backward Stochastic Differential Equations \| Semimartingale Convergence \| Nonlinear Expectations

More details

Extent:	application/pdf
Series:	SFB 649 Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number SFB649DP2011-067 21 pages
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C65 - Miscellaneous Mathematical Tools ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010607152