Minimal supersolutions of BSDEs with lower semicontinuous generators

被引：11

作者：

Heyne, Gregor ^{[1
]}

Kupper, Michael ^{[1
]}

Mainberger, Christoph ^{[1
]}

机构：

[1] Humboldt Univ, D-10099 Berlin, Germany

来源：

ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES | 2014年 / 50卷 / 02期

关键词：

Supersolutions of backward stochastic differential equations; Semimartingale convergence; STOCHASTIC DIFFERENTIAL-EQUATIONS;

D O I：

10.1214/12-AIHP523

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：524 / 538

页数：15

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