The Dynamic Convex Valuation Related to the Price Process in a Market with General Jumps

DOI10.1080/07362990902844504zbMath1165.60335OpenAlexW1971190338MaRDI QIDQ3633143

Michael Kohlmann, Dewen Xiong

Publication date: 17 June 2009

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

Full work available at URL: https://doi.org/10.1080/07362990902844504

zbMATH Keywords

time-consistencydynamic convex risk measurebackward semimartingale equation (BSE)dynamic convex valuation (DCV)

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44)

Related Items (2)

TheS-Related Dynamic Convex Valuation in the Brownian Motion Setting ⋮ AnS-Related DCV Generated by a Convex Function in a Jump Market

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