Time consistent dynamic risk processes

DOI10.1016/j.spa.2008.02.011zbMath1156.91359arXivmath/0607212OpenAlexW1982403027MaRDI QIDQ1004410

Jocelyne Bion-Nadal

Publication date: 10 March 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0607212

zbMATH Keywords

BMO martingalestime consistencydynamic risk measuressnell envelope

Mathematics Subject Classification ID

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Cites Work

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