Minimal supersolutions of BSDEs with lower semicontinuous generators

Heyne, Gregor; Kupper, Michael; Mainberger, Christoph

Minimal supersolutions of BSDEs with lower semicontinuous generators

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Date

2014

Authors

Heyne, Gregor

Kupper, Michael

Mainberger, Christoph

Collections

Mathematik und Statistik

Publication type

Journal article

Publication status

Published

Published in

Annales de l'Institut Henri Poincaré, Probabilités et Statistiques ; 50 (2014), 2. - pp. 524-538. - ISSN 0246-0203. - eISSN 1778-7017

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.

Summary in another language

Nous étudions des sur-solutions minimales d’équations stochastiques rétrogrades. Nous montrons l’existence et l’unicité de telles sur-solutions minimales lorsque le générateur est conjointement semi-continu inférieurement, minoré par une fonction affine de la variable de contrôle et satisfait une condition spécifique de normalisation. Le résultat principal est obtenu en utilisant une convergence de semi-martingales.

Subject (DDC)

510 Mathematics

Cite This

ISO 690

HEYNE, Gregor, Michael KUPPER, Christoph MAINBERGER, 2014. Minimal supersolutions of BSDEs with lower semicontinuous generators. In: Annales de l'Institut Henri Poincaré, Probabilités et Statistiques. 50(2), pp. 524-538. ISSN 0246-0203. eISSN 1778-7017

BibTex

@article{Heyne2014Minim-32869,
  year={2014},
  title={Minimal supersolutions of BSDEs with lower semicontinuous generators},
  url={http://projecteuclid.org/euclid.aihp/1395856139},
  number={2},
  volume={50},
  issn={0246-0203},
  journal={Annales de l'Institut Henri Poincaré, Probabilités et Statistiques},
  pages={524--538},
  author={Heyne, Gregor and Kupper, Michael and Mainberger, Christoph}
}

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URL of original publication

http://projecteuclid.org/euclid.aihp/1395856139

Test date of URL

2016-02-04

Bibliography of Konstanz

Yes