Optimal superhedging under nonconvex constraints -- A BSDE approach

We apply theoretical results of S. Peng on supersolutions for BSDEs to the problem of finding optimal superhedging strategies in a Black-Scholes market under constraints. Constraints may be imposed simultaneously on wealth process and portfolio. They may be nonconvex, time-dependent, and random. Constraints on the portfolio may e.g. be formulated in terms of the amount of money invested, the portfolio proportion, or the number of shares held