A class of time inconsistent risk measures and backward stochastic Volterra integral equations

DOI10.3233/RDA-2012-0074zbMath1266.91039OpenAlexW1920346151MaRDI QIDQ4921213

Yu-feng Shi, Tian Xiao Wang

Publication date: 23 May 2013

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/rda-2012-0074

zbMATH Keywords

time-inconsistencybackward stochastic Volterra integral equationsdynamic coherent risk measuresstochastic Lipschitz coefficientsadapted M-solutions

Mathematics Subject Classification ID

Stochastic integral equations (60H20)

Related Items (5)

Backward stochastic Volterra integral equations on Markov chains ⋮ Anticipated backward stochastic Volterra integral equations with jumps and applications to dynamic risk measures ⋮ Linear quadratic stochastic integral games and related topics ⋮ An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints ⋮ A unified approach to well-posedness of type-I backward stochastic Volterra integral equations

This page was built for publication: A class of time inconsistent risk measures and backward stochastic Volterra integral equations