A Dual Method For Evaluation of Dynamic Risk in Diffusion Processes
DOI10.1051/cocv/2020018zbMath1458.60090arXiv1701.06234OpenAlexW3105915266MaRDI QIDQ5854389
Ruszczyński, Andrzej, Jianing Yao
Publication date: 17 March 2021
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1701.06234
stochastic maximum principleforward-backward stochastic differential equationsfinancial risk managementdynamic risk measures
Numerical methods involving duality (49M29) Dynamic programming in optimal control and differential games (49L20) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Discrete approximations in optimal control (49M25)
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