Existence, minimality and approximation of solutions to BSDEs with convex drivers (Q424485): Difference between revisions

The authors consider a class of backward stochastic differential equations with drivers \(f(t, W, y, z)\) that are convex in \(z\) and with \(f\) Lipschitz in \(y\) and \(W\). Conditions are given for the existence and uniqueness of the solution of the BSDE, the method being to approximate the BSDE by discrete-time equations. Further imposed conditions allow the conclusion that the supersolutions obtained are minimal.