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

In this paper, we study the dynamic risk measures for processes induced by backward stochastic differential equations driven by Teugel’s martingales associated with Lévy processes (BSDELs). The representation theorem for generators of BSDELs is provided. Furthermore, the time consistency of the cohe...

Descripción completa

Detalles Bibliográficos
Autores principales: Miao, Liangliang, Liu, Zhang, Hu, Yijun
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8231138/
https://www.ncbi.nlm.nih.gov/pubmed/34208359
http://dx.doi.org/10.3390/e23060741
_version_ 1783713361400168448
author Miao, Liangliang
Liu, Zhang
Hu, Yijun
author_facet Miao, Liangliang
Liu, Zhang
Hu, Yijun
author_sort Miao, Liangliang
collection PubMed
description In this paper, we study the dynamic risk measures for processes induced by backward stochastic differential equations driven by Teugel’s martingales associated with Lévy processes (BSDELs). The representation theorem for generators of BSDELs is provided. Furthermore, the time consistency of the coherent and convex dynamic risk measures for processes is characterized by means of the generators of BSDELs. Moreover, the coherency and convexity of dynamic risk measures for processes are characterized by the generators of BSDELs. Finally, we provide two numerical examples to illustrate the proposed dynamic risk measures.
format Online
Article
Text
id pubmed-8231138
institution National Center for Biotechnology Information
language English
publishDate 2021
publisher MDPI
record_format MEDLINE/PubMed
spelling pubmed-82311382021-06-26 Dynamic Risk Measures for Processes via Backward Stochastic Differential Equations Associated with Lévy Processes Miao, Liangliang Liu, Zhang Hu, Yijun Entropy (Basel) Article In this paper, we study the dynamic risk measures for processes induced by backward stochastic differential equations driven by Teugel’s martingales associated with Lévy processes (BSDELs). The representation theorem for generators of BSDELs is provided. Furthermore, the time consistency of the coherent and convex dynamic risk measures for processes is characterized by means of the generators of BSDELs. Moreover, the coherency and convexity of dynamic risk measures for processes are characterized by the generators of BSDELs. Finally, we provide two numerical examples to illustrate the proposed dynamic risk measures. MDPI 2021-06-11 /pmc/articles/PMC8231138/ /pubmed/34208359 http://dx.doi.org/10.3390/e23060741 Text en © 2021 by the authors. https://creativecommons.org/licenses/by/4.0/Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/).
spellingShingle Article
Miao, Liangliang
Liu, Zhang
Hu, Yijun
Dynamic Risk Measures for Processes via Backward Stochastic Differential Equations Associated with Lévy Processes
title Dynamic Risk Measures for Processes via Backward Stochastic Differential Equations Associated with Lévy Processes
title_full Dynamic Risk Measures for Processes via Backward Stochastic Differential Equations Associated with Lévy Processes
title_fullStr Dynamic Risk Measures for Processes via Backward Stochastic Differential Equations Associated with Lévy Processes
title_full_unstemmed Dynamic Risk Measures for Processes via Backward Stochastic Differential Equations Associated with Lévy Processes
title_short Dynamic Risk Measures for Processes via Backward Stochastic Differential Equations Associated with Lévy Processes
title_sort dynamic risk measures for processes via backward stochastic differential equations associated with lévy processes
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8231138/
https://www.ncbi.nlm.nih.gov/pubmed/34208359
http://dx.doi.org/10.3390/e23060741
work_keys_str_mv AT miaoliangliang dynamicriskmeasuresforprocessesviabackwardstochasticdifferentialequationsassociatedwithlevyprocesses
AT liuzhang dynamicriskmeasuresforprocessesviabackwardstochasticdifferentialequationsassociatedwithlevyprocesses
AT huyijun dynamicriskmeasuresforprocessesviabackwardstochasticdifferentialequationsassociatedwithlevyprocesses

Ejemplares similares