42 citations · 108 across the 17 of their papers we have counts for
4 papers · 1 filter
Stability and Markov Property of Forward Backward Minimal Supersolutions
Samuel Drapeau, Christoph Mainberger
We show stability and locality of the minimal supersolution of a forward backward stochastic differential equation with respect to the underlying forward process under weak assumpt…
Dual Representation of Minimal Supersolutions of Convex BSDEs
Samuel Drapeau, Michael Kupper, Emanuela Rosazza Gianin +1
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…
Dynamic Assessment Indices
Tomasz R. Bielecki, Igor Cialenco, Samuel Drapeau +1
This paper provides a unified framework, which allows, in particular, to study the structure of dynamic monetary risk measures and dynamic acceptability indices. The main mathemati…
Minimal supersolutions of convex BSDEs
Samuel Drapeau, Gregor Heyne, Michael Kupper
We study the nonlinear operator of mapping the terminal value to the corresponding minimal supersolution of a backward stochastic differential equation with the generator being…