Abstract

In this paper, we consider the generalized entropic risk measures and related BSDEs. We establish a variational representation for the generalized relative entropy. By the variational representation result, (conditional) generalized entropic risk measures are defined and their features are studied. We also build the relationship between conditional generalized entropic risk measures and a class of BSDEs.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call