MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g‐EXPECTATION
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Publication:5739194
DOI10.1111/mafi.12062zbMath1378.91128arXiv1011.3685OpenAlexW2134744124MaRDI QIDQ5739194
Publication date: 15 July 2016
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1011.3685
\(g\)-expectationbackward stochastic differential equationrisk sharingrisk contributionstochastic interactioninsolvency riskmultidimensional dynamic convex risk measure
Statistical methods; risk measures (91G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
Related Items (11)
Robust valuation, arbitrage ambiguity and profit \& loss analysis ⋮ Convexity and sublinearity of \(g\)-expectations ⋮ Representation and converse comparison theorems for multidimensional BSDEs ⋮ Unnamed Item ⋮ Dynamic risk measures for processes via backward stochastic differential equations ⋮ Representation theorem and viability property for multidimensional BSDEs and their applications ⋮ Anticipated backward stochastic Volterra integral equations with jumps and applications to dynamic risk measures ⋮ Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience ⋮ Set-valued risk measures as backward stochastic difference inclusions and equations ⋮ Comparison theorem for diagonally quadratic BSDEs ⋮ Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps
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