Minimal Supersolutions of BSDEs with Lower Semicontinuous Generators

2011/10/14 by Heyne, Gregor, Kupper, Michael, Mainberger, Christoph
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1110.3254

Abstract

We study the existence and uniqueness of minimal supersolutions of backward stochastic differential equations with generators that are jointly lower semicontinuous, bounded below by an affine function of the control variable and satisfy a specific normalization property.

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