| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10527309 | Stochastic Processes and their Applications | 2015 | 17 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Samuel Drapeau, Gregor Heyne, Michael Kupper,