CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY (Q3650923)

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CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY
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    title
    CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY (English)
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    author
    Nicole El Karoui
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    Claudia Ravanelli
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    publication date
    7 December 2009
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    zbMATH DE Number
    5643168
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    zbMATH Keywords
    risk measures
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    Fenchel-Legendre transform
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    model uncertainty
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    inf-convolution
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    backward stochastic differential equations
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