Minimal supersolutions of BSDEs with lower semicontinuous generators

Gregor Heyne; Michael Kupper; Christoph Mainberger

Annales de l'I.H.P. Probabilités et statistiques (2014)

  • Volume: 50, Issue: 2, page 524-538
  • ISSN: 0246-0203

Abstract

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We study minimal supersolutions of backward stochastic differential equations. We show the existence and uniqueness of the minimal supersolution, if the generator is jointly lower semicontinuous, bounded from below by an affine function of the control variable, and satisfies a specific normalization property. Semimartingale convergence is used to establish the main result.

How to cite

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Heyne, Gregor, Kupper, Michael, and Mainberger, Christoph. "Minimal supersolutions of BSDEs with lower semicontinuous generators." Annales de l'I.H.P. Probabilités et statistiques 50.2 (2014): 524-538. <http://eudml.org/doc/272073>.

@article{Heyne2014,
abstract = {We study minimal supersolutions of backward stochastic differential equations. We show the existence and uniqueness of the minimal supersolution, if the generator is jointly lower semicontinuous, bounded from below by an affine function of the control variable, and satisfies a specific normalization property. Semimartingale convergence is used to establish the main result.},
author = {Heyne, Gregor, Kupper, Michael, Mainberger, Christoph},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {supersolutions of backward stochastic differential equations; semimartingale convergence},
language = {eng},
number = {2},
pages = {524-538},
publisher = {Gauthier-Villars},
title = {Minimal supersolutions of BSDEs with lower semicontinuous generators},
url = {http://eudml.org/doc/272073},
volume = {50},
year = {2014},
}

TY - JOUR
AU - Heyne, Gregor
AU - Kupper, Michael
AU - Mainberger, Christoph
TI - Minimal supersolutions of BSDEs with lower semicontinuous generators
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 2014
PB - Gauthier-Villars
VL - 50
IS - 2
SP - 524
EP - 538
AB - We study minimal supersolutions of backward stochastic differential equations. We show the existence and uniqueness of the minimal supersolution, if the generator is jointly lower semicontinuous, bounded from below by an affine function of the control variable, and satisfies a specific normalization property. Semimartingale convergence is used to establish the main result.
LA - eng
KW - supersolutions of backward stochastic differential equations; semimartingale convergence
UR - http://eudml.org/doc/272073
ER -

References

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