AN ERGODIC BSDE RISK REPRESENTATION IN A JUMP-DIFFUSION FRAMEWORK

DOI10.1142/S0219024921500151zbMath1470.91330OpenAlexW3160136897WikidataQ114072701 ScholiaQ114072701MaRDI QIDQ5010067

Calisto Guambe, Rodwell Kufakunesu, Lesedi Mabitsela

Publication date: 24 August 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024921500151

zbMATH Keywords

jump-diffusionergodic BSDEsforward exponential performanceforward entropic risk measurelong-term maturity behaviormaturity independent risk measure

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Jump processes on discrete state spaces (60J74)

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