Minimal supersolutions of BSDEs under volatility uncertainty

Drapeau, Samuel; Heyne, Gregor; Kupper, Michael

Minimal supersolutions of BSDEs under volatility uncertainty

Dateien

Zu diesem Dokument gibt es keine Dateien.

Datum

2014

Autor:innen

Drapeau, Samuel

Heyne, Gregor

Kupper, Michael

ArXiv-ID

http://arxiv.org/abs/1306.6545v2

Sammlungen

Mathematik und Statistik

Publikationstyp

Preprint

Publikationsstatus

Published

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.

Fachgebiet (DDC)

510 Mathematik

Zitieren

ISO 690

DRAPEAU, Samuel, Gregor HEYNE, Michael KUPPER, 2014. Minimal supersolutions of BSDEs under volatility uncertainty

BibTex

@unpublished{Drapeau2014Minim-30289,
  year={2014},
  title={Minimal supersolutions of BSDEs under volatility uncertainty},
  author={Drapeau, Samuel and Heyne, Gregor and Kupper, Michael}
}

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Universitätsbibliographie

Ja