Minimal Supersolutions of Convex BSDEs under Constraints

Abstract

We study supersolutions of a backward stochastic differential equation, the control processes of which are constrained to be continuous semimartingales of the form $dZ=\Delta dt+\Gamma dW$. The generator may depend on the decomposition $(\Delta ,\Gamma )$ and is assumed to be positive, jointly convex and lower semicontinuous, and to satisfy a superquadratic growth condition in $\Delta$ and $\Gamma$. We prove the existence of a supersolution that is minimal at time zero and derive stability properties of the non-linear operator that maps terminal conditions to the time zero value of this minimal supersolution such as monotone convergence, Fatou's lemma and $L^1$-lower semicontinuity. Furthermore, we provide duality results within the present framework and thereby give conditions for the existence of solutions under constraints.

23 pages

References in corpus (1)

• Dual formulation of second order target problems