Abstract
We provide some time-consistent dynamic convex (resp. coherent) risk measures for processes via backward stochastic differential equations (BSDEs for short), and establish the one-to-one correspondence between the generators of BSDEs and the associated dynamic convex (resp. coherent) risk measures for processes. Furthermore, we show that the dynamic convex (resp. coherent) risk measures for processes via BSDEs coincide with the classical dynamic convex (resp. coherent) risk measures under the framework of Peng’s g-expectations.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.