Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach
From MaRDI portal
Publication:661265
DOI10.1016/j.insmatheco.2010.08.005zbMath1231.91240OpenAlexW2116664829MaRDI QIDQ661265
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://research.tue.nl/nl/publications/fac41c32-32cc-4016-ae42-50e308aa260c
discretizationconvergence\(g\)-expectationtime-consistencydynamic convex risk measuresspecial drivers
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) (L^p)-limit theorems (60F25)
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