Minimal supersolutions of BSDEs with lower semicontinuous generations

Gregor Heyne, Michael Kupper and Christoph Mainberger

No 2011-067, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

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.

Keywords: supersolutions of backward stochastic differential equations; semimartingale convergence; nonlinear expectations (search for similar items in EconPapers)
JEL-codes: C61 C65 G11 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb649:sfb649dp2011-067

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