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Minimal supersolutions of BSDEs with lower semicontinuous generators

Gregor HeyneMichael KupperChristoph Mainberger — 2014

Annales de l'I.H.P. Probabilités et statistiques

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.

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