Concentration of dynamic risk measures in a Brownian filtration
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Publication:1999909
DOI10.1016/j.spa.2018.05.008zbMath1417.60060arXiv1805.09014OpenAlexW2803177789WikidataQ129718488 ScholiaQ129718488MaRDI QIDQ1999909
Publication date: 27 June 2019
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1805.09014
backward stochastic differential equationsconcentration inequalitiesdynamic risk measurestransportation inequalitiesBrownian filtrationsuperquadratic growth
Inequalities; stochastic orderings (60E15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integral equations (60H20)
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