Minimal supersolutions of BSDEs under volatility uncertainty
| dc.contributor.author | Drapeau, Samuel | |
| dc.contributor.author | Heyne, Gregor | |
| dc.contributor.author | Kupper, Michael | |
| dc.date.accessioned | 2015-06-23T11:17:07Z | |
| dc.date.available | 2015-06-23T11:17:07Z | |
| dc.date.issued | 2015 | eng |
| dc.description.abstract | 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. | eng |
| dc.description.version | published | |
| dc.identifier.doi | 10.1016/j.spa.2015.02.002 | eng |
| dc.identifier.uri | http://kops.uni-konstanz.de/handle/123456789/31243 | |
| dc.language.iso | eng | eng |
| dc.subject | Minimal supersolutions of second order Backward Stochastic Differential Equations, Model uncertainty, G-Expectation | eng |
| dc.subject.ddc | 510 | eng |
| dc.title | Minimal supersolutions of BSDEs under volatility uncertainty | eng |
| dc.type | JOURNAL_ARTICLE | eng |
| dspace.entity.type | Publication | |
| kops.citation.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}
} | |
| kops.citation.iso690 | DRAPEAU, 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 | deu |
| kops.citation.iso690 | DRAPEAU, 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 | eng |
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| kops.sourcefield.plain | 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 | deu |
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| temp.internal.duplicates | <p>Möglicherweise Dublette von: </p><a href="http://kops.uni-konstanz.de/handle/123456789/30289">http://kops.uni-konstanz.de/handle/123456789/30289</a><p>Letzte Überprüfung: 16.06.2015 13:54:24</p> | deu |