Minimal Supersolutions of BSDEs with Lower Semicontinuous Generators

Details Minimal Supersolutions of BSDEs with Lower Semicontinuous Generators Minimal Supersolutions of BSDEs with Lower Semicontinuous Generators

2011-10-14

arxiv.org/abs/1110.3254v1

Mathematics

Probability

Scientific paper

We study the existence and uniqueness of minimal supersolutions of backward
stochastic differential equations with generators that are jointly lower
semicontinuous, bounded below by an affine function of the control variable and
satisfy a specific normalization property.

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