Minimal supersolutions of convex BSDEs

DOI10.1214/13-AOP834zbMath1284.60116arXiv1106.1400MaRDI QIDQ2434909

Gregor Heyne, Michael Kupper, Samuel Drapeau

Publication date: 31 January 2014

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1106.1400

zbMATH Keywords

supermartingalesnonlinear expectationssupersolutions of backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

Related Items (18)

Dual representation of minimal supersolutions of convex BSDEs ⋮ Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control ⋮ Path-Dependent Hamilton--Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method ⋮ Hedging under generalized good-deal bounds and model uncertainty ⋮ Characterization of fully coupled FBSDE in terms of portfolio optimization ⋮ A new Mertens decomposition of \(\mathscr{Y}^{g , \xi} \)-submartingale systems. Application to BSDEs with weak constraints at stopping times ⋮ Minimal supersolutions of convex BSDEs under constraints ⋮ Existence, uniqueness and comparison theorem on unbounded solutions of scalar super-linear BSDEs ⋮ Functional inequalities for forward and backward diffusions ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ Minimal supersolutions of BSDEs with lower semicontinuous generators ⋮ Multidimensional Markovian FBSDEs with super-quadratic growth ⋮ Discontinuous Nash equilibrium points for nonzero-sum stochastic differential games ⋮ Concentration of dynamic risk measures in a Brownian filtration ⋮ A probabilistic approach to small noise limit for PDEs in the Wasserstein space ⋮ Robust Portfolio Choice and Indifference Valuation ⋮ Continuous dependence property of BSDE with constraints ⋮ Minimal supersolutions of BSDEs under volatility uncertainty

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