On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
DOI10.1007/s11579-020-00261-2zbMath1443.91337arXiv1608.07498OpenAlexW3008202372MaRDI QIDQ2190063
Julio Backhoff-Veraguas, Ludovic Tangpi
Publication date: 18 June 2020
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1608.07498
viscosity solutionHJB equationrisk measurestime-inconsistencydynamic programming principlesingular Hamiltonianoptimized certainty equivalentunbounded stochastic control
Statistical methods; risk measures (91G70) Dynamic programming (90C39) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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