Minimal supersolutions of convex BSDEs under constraints

@article{Heyne2013MinimalSO,
  title={Minimal supersolutions of convex BSDEs under constraints},
  author={Gregor Heyne and M. Kupper and Christoph Mainberger and Ludovic Tangpi},
  journal={Esaim: Probability and Statistics},
  year={2013},
  volume={20},
  pages={178-195}
}
We study supersolutions of a backward stochastic differential equation, the control processes of which are constrained to be continuous semimartingales of the form d Z = Δ d t + Γ d W . The generator may depend on the decomposition ( Δ,Γ ) and is assumed to be positive, jointly convex and lower semicontinuous, and to satisfy a superquadratic growth condition in Δ and Γ . We prove the existence of a supersolution that is minimal at time zero and derive stability properties of the non-linear… Expand
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