BSDEs with jumps, optimization and applications to dynamic risk measures

DOI10.1016/j.spa.2013.02.016zbMath1285.93091OpenAlexW1978646054MaRDI QIDQ2447715

Publication date: 28 April 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2013.02.016

zbMATH Keywords

comparison theorems robust optimization risk measures dual representation backward stochastic differential equations with jumps

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic systems in control theory (general) (93E03) Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10)

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