CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY

DOI10.1111/j.1467-9965.2009.00380.xzbMath1184.91111arXiv0710.4106OpenAlexW2161088186MaRDI QIDQ3650923

Claudia Ravanelli, Nicole El Karoui

Publication date: 7 December 2009

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0710.4106

zbMATH Keywords

backward stochastic differential equationsmodel uncertaintyrisk measuresinf-convolutionFenchel-Legendre transform

Mathematics Subject Classification ID

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