Set-valued risk measures as backward stochastic difference inclusions and equations

DOI10.1007/s00780-020-00445-0zbMath1461.91363arXiv1912.06916OpenAlexW3125841424MaRDI QIDQ2022755

Çağın Ararat, Zachary Feinstein

Publication date: 29 April 2021

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

Full work available at URL: https://arxiv.org/abs/1912.06916

zbMATH Keywords

dynamic risk measuretime-consistencydifference inclusionset-valued risk measureset-valued difference equation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Set-valued functions (26E25) Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20) Stochastic difference equations (39A50)

Related Items (2)

Set-valued backward stochastic differential equations ⋮ Capital allocation with multivariate convex risk measures

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