On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration (Q2190063)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration |
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On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration (English)
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18 June 2020
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time-inconsistency
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risk measures
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optimized certainty equivalent
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HJB equation
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viscosity solution
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unbounded stochastic control
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dynamic programming principle
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singular Hamiltonian
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