Representation of dynamic time-consistent convex risk measures with jumps (Q3119604)
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scientific article; zbMATH DE number 7034816
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| English | Representation of dynamic time-consistent convex risk measures with jumps |
scientific article; zbMATH DE number 7034816 |
Statements
Representation of dynamic time-consistent convex risk measures with jumps (English)
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12 March 2019
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dynamic convex risk measure
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dynamic coherent risk measure
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Poisson random measure
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backward stochastic differential equations
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\(g\)-expectation
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minimal penalty term
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conjugate function
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0.8564736247062683
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0.8345333337783813
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0.8336175084114075
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0.8272324204444885
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