Dynamic Risk Measures for Processes via Backward Stochastic Differential Equations Associated with Lévy Processes.

Miao, Liangliang; Liu, Zhang; Hu, Yijun

Miao, Liangliang; Liu, Zhang; Hu, Yijun.

Afiliación

Miao L; School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China.
Liu Z; School of Computer and Information Engineering, Jiangxi Agricultural University, Nanchang 330045, China.
Hu Y; School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China.

Entropy (Basel) ; 23(6)2021 Jun 11.

Article en En | MEDLINE | ID: mdl-34208359

Palabras clave

backward stochastic differential equations; dynamic coherent risk measures; dynamic convex risk measures; dynamic risk measures for processes; lévy processes; teugel's martingales

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Texto completo: 1 Colección: 01-internacional Base de datos: MEDLINE Tipo de estudio: Etiology_studies / Risk_factors_studies Idioma: En Revista: Entropy (Basel) Año: 2021 Tipo del documento: Article País de afiliación: China Pais de publicación: Suiza

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