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math.PR2013
Minimal Supersolutions of Convex BSDEs under Constraints
Gregor Heyne, Michael Kupper, Christoph Mainberger +1
We study supersolutions of a backward stochastic differential equation, the control processes of which are constrained to be continuous semimartingales of the form …
math.PR2013★ 1 cited
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…