Existence, minimality and approximation of solutions to BSDEs with convex drivers

DOI10.1016/J.SPA.2011.12.008MaRDI QIDQ424485zbMATH OpenOpenAlexFDO

Authors Patrick Cheridito, Mitja Stadje

Publication date 1 June 2012

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1105.1471

zbMATH Keywords

backward stochastic difference equationssupersolutionsBackward stochastic differential equationsconvex driversdiscrete-time approximations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: We study the existence of solutions to backward stochastic differential equations with drivers f(t,W,y,z) that are convex in z. We assume f to be Lipschitz in y and W but do not make growth assumptions with respect to z. We first show the existence of a unique solution (Y,Z) with bounded Z if the terminal condition is Lipschitz in W and that it can be approximated by the solutions to properly discretized equations. If the terminal condition is bounded and uniformly continuous in W, we show the existence of a minimal continuous supersolution by uniformly approximating the terminal condition with Lipschitz terminal conditions. Finally, we prove existence of a minimal RCLL supersolution for bounded lower semicontinuous terminal conditions by approximating the terminal condition pointwise from below with Lipschitz terminal conditions.

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Cited in

(12)

• Minimal supersolutions of convex BSDEs
• Regularity of BSDEs with a convex constraint on the gains-process
• A simple constructive approach to quadratic BSDEs with or without delay
• Existence, uniqueness and comparison theorem on unbounded solutions of scalar super-linear BSDEs
• BSDEs with terminal conditions that have bounded Malliavin derivative
• Minimal supersolutions of BSDEs with lower semicontinuous generators
• Existence and uniqueness results for BSDE with jumps: the whole nine yards
• Analytical Approximations of BSDEs with Nonsmooth Driver
• Minimal supersolutions of convex BSDEs under constraints
• BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness
• Numerical simulation of quadratic BSDEs
• Dual representation of minimal supersolutions of convex BSDEs

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