Minimal supersolutions of convex BSDEs under constraints

DOI10.1051/ps/2016011zbMath1356.60090arXiv1311.6910OpenAlexW112407717MaRDI QIDQ2954231

Michael Kupper, Gregor Heyne, Christoph Mainberger, Ludovic Tangpi

Publication date: 12 January 2017

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.6910

zbMATH Keywords

dualitybackward stochastic differential equationsminimalitysupersolutionsgamma constraints

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integral equations (60H20)

Related Items (1)

Characterization of fully coupled FBSDE in terms of portfolio optimization

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