Dual Representation of Minimal Supersolutions of Convex BSDEs


Authors
Samuel Drapeau, Emmanuela R. Gianin, Michael Kupper and Ludovic Tangpi
Date
2016
Journal
Annales de l’Institut Henri Poincaré, 52(2):868-887
Abstract
We give a dual representation of minimal supersolutions of BSDEs with non-bounded, but integrable terminal conditions and under weak requirements on the generator which is allowed to depend on the value process of the equation. Conversely, we show that any dynamic risk measure satisfying such a dual representation stems from a BSDE. We also give a condition under which a supersolution of a BSDE is even a solution.
Keywords
Convex Duality, Supersolutions of BSDEs, Cash-Subadditive Risk Measures
Download
pdf (open science)