DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS

DOI10.1142/S0219024917500479zbMath1415.91266OpenAlexW3121912870MaRDI QIDQ4595300

Ludger Overbeck, Eduard Kromer

Publication date: 29 November 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024917500479

zbMATH Keywords

backward stochastic differential equationdynamic risk measurebackward stochastic Volterra integral equationdynamic risk capital allocationgradient allocationAumann-Shapley allocation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (18)

Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations ⋮ A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations ⋮ Backward doubly stochastic Volterra integral equations and their applications ⋮ Stochastic Volterra integral equations with a parameter ⋮ Dynamic risk measure for BSVIE with jumps and semimartingale issues ⋮ On a class of reflected backward stochastic Volterra integral equations and related time-inconsistent optimal stopping problems ⋮ Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations ⋮ Backward stochastic Volterra integral equations -- representation of adapted solutions ⋮ The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time ⋮ Solvability of anticipated backward stochastic Volterra integral equations ⋮ A unified approach to well-posedness of type-I backward stochastic Volterra integral equations ⋮ Recursive utility processes, dynamic risk measures and quadratic backward stochastic Volterra integral equations ⋮ Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle ⋮ Time-inconsistent stochastic optimal control problems and backward stochastic volterra integral equations ⋮ AN ERGODIC BSDE RISK REPRESENTATION IN A JUMP-DIFFUSION FRAMEWORK ⋮ Backward stochastic differential equations and backward stochastic Volterra integral equations with anticipating generators ⋮ Variation of constants formulae for forward and backward stochastic Volterra integral equations ⋮ Infinite horizon backward stochastic Volterra integral equations and discounted control problems

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