Minimal supersolutions of BSDEs under volatility uncertainty

Drapeau Samuel; Heyne Gregor; Kupper Michael

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arXiv · 1306.6545

Minimal supersolutions of BSDEs under volatility uncertainty

Drapeau Samuel·Heyne Gregor·Kupper Michael

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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.

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Drapeau Samuel, Heyne Gregor, Kupper Michael. 2013-06-27. Minimal supersolutions of BSDEs under volatility uncertainty. https://arxiv.org/abs/1306.6545

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