23 citations · 23 across the 3 of their papers we have counts for
4 papers
Portfolio Optimization under Nonlinear Utility
Gregor Heyne, Michael Kupper, Ludovic Tangpi
This paper studies the utility maximization problem of an agent with non-trivial endowment, and whose preferences are modeled by the maximal subsolution of a BSDE. We prove existen…
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 …
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…
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…