Risk measures for processes and BSDEs (Q486926): Difference between revisions

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+G07
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+H10
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+B30
@@ Property / Mathematics Subject Classification ID: 91B30 / rank @@
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+G40
@@ Property / Mathematics Subject Classification ID: 60G40 / rank @@
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+B16
@@ Property / Mathematics Subject Classification ID: 91B16 / rank @@
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@@ Property / zbMATH DE Number @@
+6387647
@@ Property / zbMATH DE Number: 6387647 / rank @@
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@@ Property / zbMATH Keywords @@
+risk measures for processes
@@ Property / zbMATH Keywords: risk measures for processes / rank @@
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@@ Property / zbMATH Keywords @@
+backward stochastic differential equations
@@ Property / zbMATH Keywords: backward stochastic differential equations / rank @@
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@@ Property / zbMATH Keywords @@
+discounting ambiguity
@@ Property / zbMATH Keywords: discounting ambiguity / rank @@
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@@ Property / zbMATH Keywords @@
+model ambiguity
@@ Property / zbMATH Keywords: model ambiguity / rank @@
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@@ Property / zbMATH Keywords @@
+cash subadditivity
@@ Property / zbMATH Keywords: cash subadditivity / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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+W2154710747
@@ Property / OpenAlex ID: W2154710747 / rank @@
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@@ Property / arXiv ID @@
+.4853
@@ Property / arXiv ID: 1304.4853 / rank @@
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@@ Property / cites work @@
+Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
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@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
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@@ Property / cites work @@
+Lebesgue property of convex risk measures for bounded càdlàg processes
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@@ Property / cites work @@
+Q3613976
@@ Property / cites work: Q3613976 / rank @@
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@@ Property / cites work @@
+Optimal stopping for dynamic convex risk measures
@@ Property / cites work: Optimal stopping for dynamic convex risk measures / rank @@
+Normal rank
@@ Property / cites work @@
+Valuation Equations for Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Optimal stopping for non-linear expectations. I
@@ Property / cites work: Optimal stopping for non-linear expectations. I / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal stopping for non-linear expectations. II
@@ Property / cites work: Optimal stopping for non-linear expectations. II / rank @@
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@@ Property / cites work @@
+Stochastic Integration with Jumps
@@ Property / cites work: Stochastic Integration with Jumps / rank @@
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@@ Property / cites work @@
+On the hedging of options on exploding exchange rates
+Normal rank
@@ Property / cites work @@
+Optimal stopping under ambiguity in continuous time
+Normal rank
@@ Property / cites work @@
+Coherent and convex monetary risk measures for bounded càdlàg processes
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@@ Property / cites work @@
+Coherent and convex monetary risk measures for unbounded càdlàg processes.
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@@ Property / cites work @@
+Dynamic monetary risk measures for bounded discrete-time processes
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@@ Property / cites work @@
+Representation of the penalty term of dynamic concave utilities
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@@ Property / cites work @@
+Q3957682
@@ Property / cites work: Q3957682 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3957683
@@ Property / cites work: Q3957683 / rank @@
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@@ Property / cites work @@
+Reflected solutions of backward SDE's, and related obstacle problems for PDE's
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@@ Property / cites work @@
+CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY
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@@ Property / cites work @@
+The exit measure of a supermartingale
@@ Property / cites work: The exit measure of a supermartingale / rank @@
+Normal rank
@@ Property / cites work @@
+Convex measures of risk and trading constraints
@@ Property / cites work: Convex measures of risk and trading constraints / rank @@
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+Stochastic Finance
@@ Property / cites work: Stochastic Finance / rank @@
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@@ Property / cites work @@
+Reflected BSDE's with discontinuous barrier and application
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@@ Property / cites work @@
+Transformation of Markov processes by multiplicative functionals
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+Calcul stochastique et problèmes de martingales
@@ Property / cites work: Calcul stochastique et problèmes de martingales / rank @@
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+ABSOLUTE CONTINUITY AND SINGULARITY OF LOCALLY ABSOLUTELY CONTINUOUS PROBABILITY DISTRIBUTIONS. I
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+Numéraire-invariant preferences in financial modeling
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@@ Property / cites work @@
+On the characterisation of honest times that avoid all stopping times
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@@ Property / cites work @@
+Strict local martingales and bubbles
@@ Property / cites work: Strict local martingales and bubbles / rank @@
+Normal rank
@@ Property / cites work @@
+Continuous exponential martingales and BMO
@@ Property / cites work: Continuous exponential martingales and BMO / rank @@
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@@ Property / cites work @@
+Backward stochastic differential equations and partial differential equations with quadratic growth.
+Normal rank
@@ Property / cites work @@
+Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
+Normal rank
@@ Property / cites work @@
+Reflected backward stochastic differential equations and a class of non-linear dynamic pricing rule
+Normal rank
@@ Property / cites work @@
+Doob's maximal identity, multiplicative decompositions and enlargements of filtrations
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@@ Property / cites work @@
+Q5533878
@@ Property / cites work: Q5533878 / rank @@
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@@ Property / cites work @@
+Q4657107
@@ Property / cites work: Q4657107 / rank @@
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@@ Property / cites work @@
+The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
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@@ Property / cites work @@
+Second order backward stochastic differential equations with quadratic growth
+Normal rank
@@ Property / cites work @@
+Optimal Stopping With Multiple Priors
@@ Property / cites work: Optimal Stopping With Multiple Priors / rank @@
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@@ Property / cites work @@
+Risk measures via \(g\)-expectations
@@ Property / cites work: Risk measures via \(g\)-expectations / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:486926