Dynamic Risk Measures and Path-Dependent Second Order PDEs

DOI10.1007/978-3-319-23425-0_6zbMath1344.60063OpenAlexW2237174654MaRDI QIDQ2801793

Jocelyne Bion-Nadal

Publication date: 22 April 2016

Published in: Stochastics of Environmental and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-23425-0_6

zbMATH Keywords

martingale problemsdynamic risk measurespath-dependent PDEs

Mathematics Subject Classification ID

Related Items (6)

Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes ⋮ Fully-Dynamic Risk-Indifference Pricing and No-Good-Deal Bounds ⋮ Weak differentiability of Wiener functionals and occupation times ⋮ A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective ⋮ Path-dependent martingale problems and additive functionals ⋮ Decoupled mild solutions of path-dependent PDEs and integro PDEs represented by BSDEs driven by cadlag martingales

Cites Work

• Dynamic risk measures: Time consistency and risk measures from BMO martingales
• Time consistent dynamic risk processes
• Functional Itō calculus and stochastic integral representation of martingales
• On viscosity solutions of path dependent PDEs
• [https://portal.mardi4nfdi.de/wiki/Publication:4043914 Diffusion processes associated with L�vy generators]
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