Minimal Supersolutions of BSDEs with Lower Semicontinuous Generators
Please always quote using this URN:urn:nbn:de:0296-matheon-10051
- 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.
Author: | Gregor Heyne, Michael Kupper, Christoph Mainberger |
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URN: | urn:nbn:de:0296-matheon-10051 |
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: | 895 |