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Minimal supersolutions of BSDEs under volatility uncertainty

Authors :
Samuel, Drapeau
Gregor, Heyne
Michael, Kupper
Publication Year :
2013

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.

Subjects

Subjects :
Mathematics - Probability

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.1306.6545
Document Type :
Working Paper