AnS-Related DCV Generated by a Convex Function in a Jump Market

DOI10.1080/07362990903546389zbMath1201.91241OpenAlexW2067085324MaRDI QIDQ5305276

Dewen Xiong, Michael Kohlmann

Publication date: 19 March 2010

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990903546389

zbMATH Keywords

dynamic convex risk measurebackward semimartingale equation (BSE)dynamic convex valuation (DCV)time-consistent property

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)

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