Dynamic risk measure for BSVIE with jumps and semimartingale issues

DOI10.1080/07362994.2019.1569531zbMath1426.60060arXiv1803.01238OpenAlexW2963045823WikidataQ128437492 ScholiaQ128437492MaRDI QIDQ5379260

Nacira Agram

Publication date: 28 May 2019

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

Full work available at URL: https://arxiv.org/abs/1803.01238

zbMATH Keywords

Brownian motionrisk measuresemimartingalebackward stochastic Volterra integral equationcompensated Poisson random measure

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Volterra integral equations (45D05) Stochastic integral equations (60H20)

Related Items (10)

Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations ⋮ Singular control of stochastic Volterra integral equations ⋮ Impulsive stochastic Volterra integral equations driven by Lévy noise ⋮ Anticipated backward stochastic Volterra integral equations with jumps and applications to dynamic risk measures ⋮ On a class of reflected backward stochastic Volterra integral equations and related time-inconsistent optimal stopping problems ⋮ 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 ⋮ Extended backward stochastic Volterra integral equations, Quasilinear parabolic equations, and Feynman–Kac formula ⋮ 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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