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Minimal Supersolutions of BSDEs with Lower Semicontinuous Generators

Author

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  • Gregor Heyne
  • Michael Kupper
  • Christoph Mainberger

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.

Suggested Citation

  • Gregor Heyne & Michael Kupper & Christoph Mainberger, 2011. "Minimal Supersolutions of BSDEs with Lower Semicontinuous Generators," SFB 649 Discussion Papers SFB649DP2011-067, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  • Handle: RePEc:hum:wpaper:sfb649dp2011-067
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    Keywords

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

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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