Minimal Supersolutions of BSDEs under Volatility Uncertainty


Authors
Samuel Drapeau, Gregor Heyne and Michael Kupper
Date
2015
Journal
Stochastic Processes and Applications, 125(8):2895–2909
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
Minimal Supersolutions of Second Order Backward Stochastic Differential Equations, Model Uncertainty, \(G\)-Expectation
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