Minimal supersolutions of BSDEs with lower semicontinuous generators
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| Type of Publication: | Journal article |
| Publication status: | Published |
| Author: | Heyne, Gregor; Kupper, Michael; Mainberger, Christoph |
| Year of publication: | 2014 |
| Published in: | Annales de l'Institut Henri Poincaré, Probabilités et Statistiques ; 50 (2014), 2. - pp. 524-538. - ISSN 0246-0203. - eISSN 1778-7017 |
| URL of original publication: | http://projecteuclid.org/euclid.aihp/1395856139, Last access on Feb 4, 2016 |
| Summary: |
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.
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| 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.
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| Subject (DDC): | 510 Mathematics |
| Bibliography of Konstanz: | Yes |
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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
@article{Heyne2014Minim-32869, title={Minimal supersolutions of BSDEs with lower semicontinuous generators}, url={http://projecteuclid.org/euclid.aihp/1395856139}, year={2014}, 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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