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Minimal Supersolutions of BSDEs with Lower Semicontinuous Generators

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  • 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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    File URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2011-067.pdf
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    Bibliographic Info

    Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2011-067.

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    Length: 21 pages
    Date of creation: Oct 2011
    Date of revision:
    Handle: RePEc:hum:wpaper:sfb649dp2011-067

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    Related research

    Keywords: Supersolutions of Backward Stochastic Differential Equations; Semimartingale Convergence; Nonlinear Expectations;

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    References

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    31. Alexander Meyer-Gohde, 2011. "Monetary Policy, Determinacy, and the Natural Rate Hypothesis," SFB 649 Discussion Papers SFB649DP2011-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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