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Minimal supersolutions of BSDEs under volatility uncertainty

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2015

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Drapeau, Samuel
Heyne, Gregor

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https://doi.org/10.1016/j.spa.2015.02.002
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Stochastic Processes and their Applications. 2015, 125(8), pp. 2895-2909. ISSN 0304-4149. eISSN 1879-209X. Available under: doi: 10.1016/j.spa.2015.02.002

Zusammenfassung

We study the existence of minimal supersolutions of BSDEs under a family of mutually singular probability measures. We consider generators that are jointly lower semicontinuous, positive, and either convex in the control variable and monotone in the value variable, or that fulfill a specific normalization property.

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Fachgebiet (DDC)
510 Mathematik

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Minimal supersolutions of second order Backward Stochastic Differential Equations, Model uncertainty, G-Expectation

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ISO 690DRAPEAU, Samuel, Gregor HEYNE, Michael KUPPER, 2015. Minimal supersolutions of BSDEs under volatility uncertainty. In: Stochastic Processes and their Applications. 2015, 125(8), pp. 2895-2909. ISSN 0304-4149. eISSN 1879-209X. Available under: doi: 10.1016/j.spa.2015.02.002
BibTex
@article{Drapeau2015Minim-31243,
  year={2015},
  doi={10.1016/j.spa.2015.02.002},
  title={Minimal supersolutions of BSDEs under volatility uncertainty},
  number={8},
  volume={125},
  issn={0304-4149},
  journal={Stochastic Processes and their Applications},
  pages={2895--2909},
  author={Drapeau, Samuel and Heyne, Gregor and Kupper, Michael}
}
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