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Minimal supersolutions of BSDEs with lower semicontinuous generations

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  • Heyne, Gregor
  • Kupper, Michael
  • Mainberger, Christoph

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.

Suggested Citation

  • Heyne, Gregor & Kupper, Michael & Mainberger, Christoph, 2011. "Minimal supersolutions of BSDEs with lower semicontinuous generations," SFB 649 Discussion Papers 2011-067, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    • Handle: RePEc:zbw:sfb649:sfb649dp2011-067
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    33. Bindseil, Ulrich & Lamoot, Jeroen, 2011. "The Basel III framework for liquidity standards and monetary policy implementation," SFB 649 Discussion Papers 2011-041, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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    36. Park, Soyoung Q & Kahnt, Thorsten & Rieskamp, Jörg & Heekeren, Hauke R., 2011. "Neurobiology of value integration: When value impacts valuation," SFB 649 Discussion Papers 2011-037, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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    More about this item

    Keywords

    supersolutions of backward stochastic differential equations; semimartingale convergence; nonlinear expectations;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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