Dynamic risk measures and path-dependent second order PDEs

DOI10.1007/978-3-319-23425-0_6MaRDI QIDQ2801793zbMATH OpenOpenAlexFDO

Authors Jocelyne Bion-Nadal

Publication date 22 April 2016

Published in Stochastics of Environmental and Financial Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.1007/978-3-319-23425-0_6

zbMATH Keywords

dynamic risk measuresmartingale problemspath-dependent PDEs

Mathematics Subject Classification ID

Viscosity solutions to PDEs (35D40) Nonlinear parabolic equations (35K55) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) Martingales with continuous parameter (60G44) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60)

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Cites work

• Diffusion processes associated with L�vy generators
• Dynamic risk measures: Time consistency and risk measures from BMO martingales
• Functional Itō calculus and stochastic integral representation of martingales
• scientific article; zbMATH DE number 1351867 (Why is no real title available?)
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• On viscosity solutions of path dependent PDEs
• Time consistent dynamic risk processes

Cited in

(7)

• Weak differentiability of Wiener functionals and occupation times
• A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
• Fully-dynamic risk-indifference pricing and no-good-deal bounds
• A PDE approach to risk measures of derivatives
• Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes
• Path-dependent martingale problems and additive functionals
• Decoupled mild solutions of path-dependent PDEs and integro PDEs represented by BSDEs driven by cadlag martingales

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