Dynamic Risk Measures for Anticipated Backward Doubly Stochastic Volterra Integral Equations

Inspired by the consideration of some inside and future market information in financial market, a class of anticipated backward doubly stochastic Volterra integral equations (ABDSVIEs) are introduced to induce dynamic risk measures for risk quantification. The theory, including the existence, unique...

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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/PMC8699945/
https://www.ncbi.nlm.nih.gov/pubmed/34945885
http://dx.doi.org/10.3390/e23121580
Descripción
Sumario:Inspired by the consideration of some inside and future market information in financial market, a class of anticipated backward doubly stochastic Volterra integral equations (ABDSVIEs) are introduced to induce dynamic risk measures for risk quantification. The theory, including the existence, uniqueness and a comparison theorem for ABDSVIEs, is provided. Finally, dynamic convex risk measures by ABDSVIEs are discussed.

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