Minimal Supersolutions of Convex BSDEs under Constraints

Zitieren

Dateien zu dieser Ressource

Dateien Größe Format Anzeige

Zu diesem Dokument gibt es keine Dateien.

HEYNE, Gregor, Michael KUPPER, Christoph MAINBERGER, Ludovic TANGPI, 2013. Minimal Supersolutions of Convex BSDEs under Constraints

@unpublished{Heyne2013Minim-26410, title={Minimal Supersolutions of Convex BSDEs under Constraints}, year={2013}, author={Heyne, Gregor and Kupper, Michael and Mainberger, Christoph and Tangpi, Ludovic} }

Tangpi, Ludovic We study supersolutions of a backward stochastic differential equation, the control processes of which are constrained to be continuous semimartingales of the form dZ=Δdt+ΓdW. The generator may depend on the decomposition (Δ,Γ) and is assumed to be positive, jointly convex and lower semicontinuous, and to satisfy a superquadratic growth condition in Δ and Γ. We prove the existence of a supersolution that is minimal at time zero and derive stability properties of the non-linear operator that maps terminal conditions to the time zero value of this minimal supersolution such as monotone convergence, Fatou's lemma and L<sup>1</sup>-lower semicontinuity. Furthermore, we provide duality results within the present framework and thereby give conditions for the existence of solutions under constraints. Kupper, Michael 2014-02-24T10:33:46Z Mainberger, Christoph eng 2014-02-24T10:33:46Z Heyne, Gregor Kupper, Michael Mainberger, Christoph deposit-license Minimal Supersolutions of Convex BSDEs under Constraints Tangpi, Ludovic 2013 Heyne, Gregor

Das Dokument erscheint in:

KOPS Suche


Stöbern

Mein Benutzerkonto