Optimal Design of Dynamic Default Risk Measures

DOI10.1239/jap/1354716651zbMath1262.60055OpenAlexW1976603130MaRDI QIDQ4903036

Leo Shen, Robert J. Elliott

Publication date: 19 January 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1354716651

zbMATH Keywords

backward stochastic differential equationinf-convolutionminimal riskdynamic entropic risk measure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Discrete-Time BSDEs with Random Terminal Horizon

Cites Work

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• Adapted solution of a backward stochastic differential equation
• A general theory of finite state backward stochastic difference equations
• Solutions of Backward Stochastic Differential Equations on Markov Chains
• RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
• The Representation of Martingales of Jump Processes
• Backward Stochastic Differential Equations for a Single Jump Process
• Stochastic finance. An introduction in discrete time

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