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...

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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

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8231138/
https://www.ncbi.nlm.nih.gov/pubmed/34208359
http://dx.doi.org/10.3390/e23060741

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