Minimal supersolutions of BSDEs under volatility uncertainty
Probability
2014-09-12 v2
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.
Keywords
Cite
@article{arxiv.1306.6545,
title = {Minimal supersolutions of BSDEs under volatility uncertainty},
author = {Drapeau Samuel and Heyne Gregor and Kupper Michael},
journal= {arXiv preprint arXiv:1306.6545},
year = {2014}
}