Generalized entropic risk measures and related BSDEs

DOI10.1016/j.spl.2021.109110zbMath1482.60091OpenAlexW3152864929MaRDI QIDQ2244447

Hanmin Ma, De-Jian Tian

Publication date: 12 November 2021

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2021.109110

zbMATH Keywords

BSDEgeneralized relative entropygeneralized entropic risk measurevariational representation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Statistical aspects of information-theoretic topics (62B10) Actuarial mathematics (91G05)

Related Items (2)

Pricing Principle via Tsallis Relative Entropy in Incomplete Markets ⋮ Limit equations of adaptive Erlangization and their application to environmental management

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