Heyne, Gregor Kupper, Michael Mainberger, Christoph
Year of Publication:
SFB 649 discussion paper 2011-067
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.
supersolutions of backward stochastic differential equations semimartingale convergence nonlinear expectations