Risk Measures and Progressive Enlargement of Filtration: A BSDE Approach
From MaRDI portal
Publication:5131410
DOI10.1137/19M1259134zbMath1452.91331arXiv1904.13257MaRDI QIDQ5131410
Alessandro Calvia, Emanuela Rosazza Gianin
Publication date: 7 November 2020
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.13257
Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Related Items (4)
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets ⋮ Anticipated backward stochastic Volterra integral equations with jumps and applications to dynamic risk measures ⋮ A linear-quadratic mean-field stochastic Stackelberg differential game with random exit time ⋮ Generalized entropic risk measures and related BSDEs
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Progressive enlargement of filtrations and backward stochastic differential equations with jumps
- Adapted solution of a backward stochastic differential equation
- Representation of the penalty term of dynamic concave utilities
- Dynamic monetary risk measures for bounded discrete-time processes
- Backward stochastic differential equations with jumps and related nonlinear expectations
- Dynamic risk measures: Time consistency and risk measures from BMO martingales
- Quadratic BSDEs with convex generators and unbounded terminal conditions
- Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management
- Semi-martingales et grossissement d'une filtration
- Conjugate convex functions in optimal stochastic control
- Convex measures of risk and trading constraints
- Filtration-consistent nonlinear expectations and related \(g\)-expectations
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Progressive enlargement of filtrations with initial times
- Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
- BSDEs with jumps, optimization and applications to dynamic risk measures
- Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
- Coherent multiperiod risk adjusted values and Bellman's principle
- Dynamic coherent risk measures
- Inf-convolution of risk measures and optimal risk transfer
- Conditional and dynamic convex risk measures
- Risk measures via \(g\)-expectations
- Coherent Measures of Risk
- CONDITIONAL CERTAINTY EQUIVALENT
- Representation of dynamic time-consistent convex risk measures with jumps
- Enlargement of Filtration with Finance in View
- Convex risk measures and the dynamics of their penalty functions
- CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY
- Study of a filtration expanded to include an honest time
- Backward Stochastic Differential Equations in Finance
- Optional splitting formula in a progressively enlarged filtration
- Robust Portfolio Choice and Indifference Valuation
- Carthaginian enlargement of filtrations
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
- Stochastic finance. An introduction in discrete time
- Credit risk: Modelling, valuation and hedging
This page was built for publication: Risk Measures and Progressive Enlargement of Filtration: A BSDE Approach
