Minimal supersolutions of BSDEs under volatility uncertainty

Drapeau Samuel, Heyne Gregor, Kupper Michael

Published 2013-06-27, updated 2014-09-10Version 2

We study the existence of minimal supersolutions of BSDEs under a family of mutually singular probability measures. We consider generators that are jointly lower semicontinuous, positive, and either convex in the control variable and monotone in the value variable, or that fulfill a specific normalization property.