AN ERGODIC BSDE RISK REPRESENTATION IN A JUMP-DIFFUSION FRAMEWORK (Q5010067)
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scientific article; zbMATH DE number 7384596
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English | AN ERGODIC BSDE RISK REPRESENTATION IN A JUMP-DIFFUSION FRAMEWORK |
scientific article; zbMATH DE number 7384596 |
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AN ERGODIC BSDE RISK REPRESENTATION IN A JUMP-DIFFUSION FRAMEWORK (English)
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24 August 2021
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forward exponential performance
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maturity independent risk measure
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forward entropic risk measure
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jump-diffusion
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ergodic BSDEs
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long-term maturity behavior
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