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
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author Miao, Liangliang
Liu, Zhang
Hu, Yijun
author_facet Miao, Liangliang
Liu, Zhang
Hu, Yijun
author_sort Miao, Liangliang
collection PubMed
description 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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spelling pubmed-86999452021-12-24 Dynamic Risk Measures for Anticipated Backward Doubly Stochastic Volterra Integral Equations Miao, Liangliang Liu, Zhang Hu, Yijun Entropy (Basel) Article 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. MDPI 2021-11-26 /pmc/articles/PMC8699945/ /pubmed/34945885 http://dx.doi.org/10.3390/e23121580 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 Anticipated Backward Doubly Stochastic Volterra Integral Equations
title Dynamic Risk Measures for Anticipated Backward Doubly Stochastic Volterra Integral Equations
title_full Dynamic Risk Measures for Anticipated Backward Doubly Stochastic Volterra Integral Equations
title_fullStr Dynamic Risk Measures for Anticipated Backward Doubly Stochastic Volterra Integral Equations
title_full_unstemmed Dynamic Risk Measures for Anticipated Backward Doubly Stochastic Volterra Integral Equations
title_short Dynamic Risk Measures for Anticipated Backward Doubly Stochastic Volterra Integral Equations
title_sort dynamic risk measures for anticipated backward doubly stochastic volterra integral equations
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8699945/
https://www.ncbi.nlm.nih.gov/pubmed/34945885
http://dx.doi.org/10.3390/e23121580
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