4 papers
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…
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 …
Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models
Ulrich Horst, Michael Kupper, Andrea Macrina +1
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to s…
Minimal Supersolutions of BSDEs with Lower Semicontinuous Generators
Gregor Heyne, Michael Kupper, Christoph Mainberger
We study the existence and uniqueness of minimal supersolutions of backward stochastic differential equations with generators that are jointly lower semicontinuous, bounded below b…