Representation of dynamic time-consistent convex risk measures with jumps
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Publication:3119604
DOI10.3233/RDA-2011-0060zbMath1409.91286OpenAlexW1888226104MaRDI QIDQ3119604
Publication date: 12 March 2019
Published in: Risk and Decision Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3233/rda-2011-0060
backward stochastic differential equationsconjugate function\(g\)-expectationPoisson random measuredynamic coherent risk measuredynamic convex risk measureminimal penalty term
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