Minimal supersolutions of BSDEs under volatility uncertainty

Publikationstyp: Zeitschriftenartikel
Autor/innen: Drapeau, Samuel; Heyne, Gregor; Kupper, Michael
Erscheinungsjahr: 2015
Erschienen in: Stochastic Processes and their Applications ; 125 (2015), 8. - S. 2895-2909. - ISSN 0304-4149. - eISSN 1879-209X
DOI (zitierfähiger Link): https://dx.doi.org/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.
Fachgebiet (DDC): 510 Mathematik
Schlagwörter: Minimal supersolutions of second order Backward Stochastic Differential Equations, Model uncertainty, G-Expectation
Universitätsbibliographie: Ja

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DRAPEAU, Samuel, Gregor HEYNE, Michael KUPPER, 2015. Minimal supersolutions of BSDEs under volatility uncertainty. In: Stochastic Processes and their Applications. 125(8), pp. 2895-2909. ISSN 0304-4149. eISSN 1879-209X. Available under: doi: 10.1016/j.spa.2015.02.002

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