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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