Minimal Supersolutions of BSDEs with Lower Semicontinuous Generators

Gregor Heyne; Michael Kupper; Christoph Mainberger

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arXiv · 1110.3254

Minimal Supersolutions of BSDEs with Lower Semicontinuous Generators

Gregor Heyne·Michael Kupper·Christoph Mainberger

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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.

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Gregor Heyne, Michael Kupper, Christoph Mainberger. 2011-10-14. Minimal Supersolutions of BSDEs with Lower Semicontinuous Generators. https://arxiv.org/abs/1110.3254

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