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 |
Dateien | Größe | Format | Anzeige |
---|---|---|---|
Zu diesem Dokument gibt es keine Dateien. |
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
@article{Drapeau2015Minim-31243, title={Minimal supersolutions of BSDEs under volatility uncertainty}, year={2015}, doi={10.1016/j.spa.2015.02.002}, 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} }
<rdf:RDF xmlns:dcterms="http://purl.org/dc/terms/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#" xmlns:foaf="http://xmlns.com/foaf/0.1/" xmlns:void="http://rdfs.org/ns/void#" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/31243"> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/31243"/> <dc:contributor>Kupper, Michael</dc:contributor> <dc:contributor>Heyne, Gregor</dc:contributor> <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/39"/> <dc:creator>Drapeau, Samuel</dc:creator> <dc:creator>Kupper, Michael</dc:creator> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/39"/> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2015-06-23T11:17:07Z</dcterms:available> <dcterms:issued>2015</dcterms:issued> <dcterms:abstract xml:lang="eng">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.</dcterms:abstract> <dc:language>eng</dc:language> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2015-06-23T11:17:07Z</dc:date> <dc:contributor>Drapeau, Samuel</dc:contributor> <dcterms:title>Minimal supersolutions of BSDEs under volatility uncertainty</dcterms:title> <dc:creator>Heyne, Gregor</dc:creator> </rdf:Description> </rdf:RDF>