On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration (Q2190063)
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scientific article; zbMATH DE number 7212869
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| English | On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration |
scientific article; zbMATH DE number 7212869 |
Statements
On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration (English)
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18 June 2020
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time-inconsistency
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risk measures
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optimized certainty equivalent
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HJB equation
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viscosity solution
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unbounded stochastic control
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dynamic programming principle
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singular Hamiltonian
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0.8336175084114075
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0.8130224347114563
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0.8119063377380371
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0.8105660080909729
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0.8054021596908569
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