Dual representation of minimal supersolutions of convex BSDEs

DOI10.1214/14-AIHP664zbMath1341.60051arXiv1308.1275MaRDI QIDQ297463

Samuel Drapeau, Emanuela Rosazza Gianin, Ludovic Tangpi, Michael Kupper

Publication date: 27 June 2016

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1308.1275

zbMATH Keywords

backward stochastic differential equationsconvex dualitysupersolutionscash-subadditive risk measures

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)

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