We study supersolutions of a backward stochastic differential equation, the control processes of which are constrained to be continuous semimartingales of the form dZ = Δdt + ΓdW. 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 operator that maps terminal conditions to the time zero value of this minimal supersolution such as monotone convergence, Fatou's lemma and L1-lower semicontinuity. Furthermore, we provide duality results within the present framework and thereby give conditions for the existence of solutions under constraints.
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Gamma constraints
- Minimality under constraints
- Supersolutions of backward stochastic differential equations