Minimal Supersolutions of Convex BSDEs under Constraints

Gregor Heyne, Michael Kupper, Christoph Mainberger, Ludovic Tangpi

Published 2013-11-27, updated 2016-04-18Version 2

We study supersolutions of a backward stochastic differential equation, the control processes of which are constrained to be continuous semimartingales of the form $dZ = {\Delta}dt + {\Gamma}dW$. The generator may depend on the decomposition $({\Delta},{\Gamma})$ and is assumed to be positive, jointly convex and lower semicontinuous, and to satisfy a superquadratic growth condition in ${\Delta}$ and ${\Gamma}$. We prove the existence of a supersolution that is minimal at time zero and derive stability properties of the non-linear operator that maps terminal conditions to the time zero value of this minimal supersolution such as monotone convergence, Fatou's lemma and $L^1$-lower semicontinuity. Furthermore, we provide duality results within the present framework and thereby give conditions for the existence of solutions under constraints.