Minimal supersolutions of BSDEs with lower semicontinuous generators
Heyne, Gregor ; Kupper, Michael ; Mainberger, Christoph
Annales de l'I.H.P. Probabilités et statistiques, Tome 50 (2014), p. 524-538 / Harvested from Numdam
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Nous étudions des sur-solutions minimales d'équations stochastiques rétrogrades. Nous montrons l'existence et l'unicité de telles sur-solutions minimales lorsque le générateur est conjointement semi-continu inférieurement, minoré par une fonction affine de la variable de contrôle et satisfait une condition spécifique de normalisation. Le résultat principal est obtenu en utilisant une convergence de semi-martingales.

We study minimal supersolutions of backward stochastic differential equations. We show the existence and uniqueness of the minimal supersolution, if the generator is jointly lower semicontinuous, bounded from below by an affine function of the control variable, and satisfies a specific normalization property. Semimartingale convergence is used to establish the main result.

Publié le : 2014-01-01
DOI : https://doi.org/10.1214/12-AIHP523
Classification:  60H20,  60H30 
@article{AIHPB_2014__50_2_524_0,
     author = {Heyne, Gregor and Kupper, Michael and Mainberger, Christoph},
     title = {Minimal supersolutions of BSDEs with lower semicontinuous generators},
     journal = {Annales de l'I.H.P. Probabilit\'es et statistiques},
     volume = {50},
     year = {2014},
     pages = {524-538},
     doi = {10.1214/12-AIHP523},
     mrnumber = {3189083},
     zbl = {1296.60173},
     language = {en},
     url = {http://dml.mathdoc.fr/item/AIHPB_2014__50_2_524_0}
}

Heyne, Gregor; Kupper, Michael; Mainberger, Christoph. Minimal supersolutions of BSDEs with lower semicontinuous generators. Annales de l'I.H.P. Probabilités et statistiques, Tome 50 (2014) pp. 524-538. doi : 10.1214/12-AIHP523. http://gdmltest.u-ga.fr/item/AIHPB_2014__50_2_524_0/

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