Minimal Supersolutions of Convex BSDEs

Details Minimal Supersolutions of Convex BSDEs Minimal Supersolutions of Convex BSDEs

2011-06-07

arxiv.org/abs/1106.1400v2

Mathematics

Probability

Scientific paper

We study a nonlinear operator defined via minimal supersolutions of backward stochastic differential equations with generators that are monotone in y, convex in z, jointly lower semicontinuous, and bounded below by an affine function of the control variable. We provide existence, monotone convergence, Fatou's Lemma and lower semicontinuity of our functional. We have a comparison principle for the underlying minimal supersolutions of BSDEs and demonstrate this by maximizing expected exponential utility.

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