Dual representation of minimal supersolutions of convex BSDEs

作者：Drapeau Samuel^*; Kupper Michael^*; Gianin Emanuela Rosazza^*; Tangpi Ludovic^*

来源：Annales de l Institut Henri Poincare-Probabilites et Statistiques, 2016, 52(2): 868-887.

DOI：10.1214/14-AIHP664

• Convex duality
• Supersolutions of BSDEs
• Cash-subadditive risk measures

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.

• 出版日期2016-5