Dual Representation of Minimal Supersolutions of Convex BSDEs

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

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arXiv · 1308.1275

Dual Representation of Minimal Supersolutions of Convex BSDEs

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

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Abstract

We give a dual representation of minimal supersolutions of BSDEs with non-bounded, but integrable terminal conditions and under weak requirements on the generator which is allowed to depend on the value process of the equation. Conversely, we show that any dynamic risk measure satisfying such a dual representation stems from a BSDE. We also give a condition under which a supersolution of a BSDE is even a solution.

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Samuel Drapeau, Michael Kupper, Emanuela Rosazza Gianin, Ludovic Tangpi. 2014-06-27. Dual Representation of Minimal Supersolutions of Convex BSDEs. https://arxiv.org/abs/1308.1275

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