Minimal supersolutions of BSDEs under volatility uncertainty

2013/06/27 by Samuel, Drapeau, Gregor, Heyne, Michael, Kupper
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1306.6545

Abstract

We study the existence of minimal supersolutions of BSDEs under a family of mutually singular probability measures. We consider generators that are jointly lower semicontinuous, positive, and either convex in the control variable and monotone in the value variable, or that fulfill a specific normalization property.

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