An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior

DOI10.1007/s00780-018-0377-3zbMath1435.91200arXiv1607.02289OpenAlexW2560223494WikidataQ128700033 ScholiaQ128700033MaRDI QIDQ1711728

Gechun Liang, Wing Fung Chong, Thaleia Zariphopoulou, Ying Hu

Publication date: 18 January 2019

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.02289

zbMATH Keywords

incomplete marketentropic risk measureindifference pricestochastic factor modelconvex duality representationergodic backward stochastic differential equationexponential forward performance criterionlarge-maturity behaviormaturity-independent risk measure

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

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