Minimal supersolutions of BSDEs with lower semicontinuous generators

Publikationstyp: Zeitschriftenartikel
Publikationsstatus: Published
Autor/innen: Heyne, Gregor; Kupper, Michael; Mainberger, Christoph
Erscheinungsjahr: 2014
Erschienen in: Annales de l'Institut Henri Poincaré, Probabilités et Statistiques ; 50 (2014), 2. - S. 524-538. - ISSN 0246-0203. - eISSN 1778-7017
URL der Originalveröffentlichung: http://projecteuclid.org/euclid.aihp/1395856139, Letzter Zugriff am 4. Feb 2016
Zusammenfassung:
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.
Zusammenfassung in einer weiteren Sprache:
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.
Fachgebiet (DDC): 510 Mathematik
Universitätsbibliographie: Ja

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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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