Risk measures for processes and BSDEs

DOI10.1007/s00780-014-0243-xzbMath1306.60025arXiv1304.4853OpenAlexW2154710747MaRDI QIDQ486926

Anthony Réveillac, Irina Penner

Publication date: 19 January 2015

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.4853

zbMATH Keywords

backward stochastic differential equationsmodel ambiguitycash subadditivitydiscounting ambiguityrisk measures for processes

Mathematics Subject Classification ID

Related Items (9)

Time consistency for set-valued dynamic risk measures for bounded discrete-time processes ⋮ Dynamic risk measures for processes via backward stochastic differential equations ⋮ Anticipated backward stochastic Volterra integral equations with jumps and applications to dynamic risk measures ⋮ Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems ⋮ Backward nonlinear expectation equations ⋮ SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES ⋮ Supermartingales as Radon-Nikodym densities and related measure extensions ⋮ A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective ⋮ MULTIVARIATE DYNAMIC CASH SUB-ADDITIVE RISK MEASURES FOR PROCESSES

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