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Minimal supersolutions of BSDEs under volatility uncertainty

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  • Drapeau, Samuel
  • Heyne, Gregor
  • Kupper, Michael

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.

Suggested Citation

  • Drapeau, Samuel & Heyne, Gregor & Kupper, Michael, 2015. "Minimal supersolutions of BSDEs under volatility uncertainty," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 2895-2909.
    • Handle: RePEc:eee:spapps:v:125:y:2015:i:8:p:2895-2909
    DOI: 10.1016/j.spa.2015.02.002
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    References listed on IDEAS

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