Minimal supersolutions of BSDEs under volatility uncertainty

Samuel Drapeau, Gregor Heyne and Michael Kupper

Stochastic Processes and their Applications, 2015, vol. 125, issue 8, 2895-2909

Abstract: We study the existence of minimal supersolutions of BSDEs under a family of mutually singular probability measures. We consider generators that are jointly lower semicontinuous, positive, and either convex in the control variable and monotone in the value variable, or that fulfill a specific normalization property.

Keywords: Minimal supersolutions of second order Backward Stochastic Differential Equations; Model uncertainty; G-Expectation (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:125:y:2015:i:8:p:2895-2909

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DOI: 10.1016/j.spa.2015.02.002

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