An ergodic BSDE risk representation in a jump-diffusion framework
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Cites work
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- An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
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Cited in
(10)- An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
- Generalized entropic risk measures and related BSDEs
- Mean-field BSDEs with jumps and dual representation for global risk measures
- CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP
- A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations
- scientific article; zbMATH DE number 7112810 (Why is no real title available?)
- Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
- Dynamic risk measure for BSVIE with jumps and semimartingale issues
- Risk-based premium evaluation with jump diffusion process for PBGC
- Dual stochastic descriptions of streamflow dynamics under model ambiguity through a Markovian embedding
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