• search hit 230 of 1103
Back to Result List

Minimal Supersolutions of Convex BSDEs

Please always quote using this URN:urn:nbn:de:0296-matheon-10047
  • We study a nonlinear operator defined via minimal supersolutions of backward stochastic differential equations with generators that are monotone in y, convex in z, jointly lower semicontinuous, and bounded below by an affine function of the control variable. We show existence, uniqueness, monotone convergence, Fatou’s Lemma and lower semicontinuity of this functional. We provide a comparison principle for the underlying minimal supersolutions of BSDEs, which we illustrate by maximizing expected exponential utility.

Download full text files

Export metadata

Additional Services

Share in Twitter Search Google Scholar
Metadaten
Author:Samuel Drapeau, Gregor Heyne
URN:urn:nbn:de:0296-matheon-10047
Referee:Dirk Becherer
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2012/01/27
Release Date:2012/01/27
Institute:Humboldt-Universität zu Berlin
MSC-Classification:60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Hxx Stochastic analysis [See also 58J65] / 60H20 Stochastic integral equations
60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Hxx Stochastic analysis [See also 58J65] / 60H30 Applications of stochastic analysis (to PDE, etc.)
Preprint Number:894
Verstanden ✔
Diese Webseite verwendet technisch erforderliche Session-Cookies. Durch die weitere Nutzung der Webseite stimmen Sie diesem zu. Unsere Datenschutzerklärung finden Sie hier.