Continuous-time dynamic risk measures by backward stochastic Volterra integral equations

DOI10.1080/00036810701697328MaRDI QIDQ3502182zbMATH OpenOpenAlexFDO

Authors Jiongmin Yong

Publication date 22 May 2008

Published in Applicable Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00036810701697328

Mathematics Subject Classification ID

Stochastic integral equations (60H20) Stochastic models in economics (91B70)

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Cites work

• L^p solutions of backward stochastic differential equations.
• A Generalized Stochastic Differential Utility
• Adapted solution of a backward stochastic differential equation
• Adapted solution of a backward stochastic nonlinear Volterra integral equation
• Backward Stochastic Differential Equations in Finance
• Backward stochastic Volterra integral equations and some related problems
• Coherent measures of risk
• Convex measures of risk and trading constraints
• Dynamic coherent risk measures

Cited in

(48)

• Backward stochastic Volterra integral equations with additive perturbations
• An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints
• L^p solutions of backward stochastic Volterra integral equations
• Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations
• Comparison theorems for some backward stochastic Volterra integral equations
• Set-valued risk measures as backward stochastic difference inclusions and equations
• A class of stochastic Fredholm-algebraic equations and applications in finance
• The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time
• A unified approach to well-posedness of type-I backward stochastic Volterra integral equations
• Recursive utility processes, dynamic risk measures and quadratic backward stochastic Volterra integral equations
• Backward stochastic differential equations and backward stochastic Volterra integral equations with anticipating generators
• Variation of constants formulae for forward and backward stochastic Volterra integral equations
• Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations
• Backward doubly stochastic Volterra integral equations and their applications
• On a class of reflected backward stochastic Volterra integral equations and related time-inconsistent optimal stopping problems
• Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems
• Solvability of anticipated backward stochastic Volterra integral equations
• Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle
• On a class of backward stochastic Volterra integral equations
• Optimal control problems of forward-backward stochastic Volterra integral equations
• Dynamic risk measures for processes via backward stochastic differential equations
• Nonlocal fully nonlinear parabolic differential equations arising in time-inconsistent problems
• A collocation technique for solving nonlinear stochastic Itô-Volterra integral equations
• BSDE and risk measures
• Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
• Time-coherent risk measures for continuous-time Markov chains
• Differentiability of BSVIEs and dynamic capital allocations
• A class of time inconsistent risk measures and backward stochastic Volterra integral equations
• Extended backward stochastic Volterra integral equations, quasilinear parabolic equations, and Feynman-Kac formula
• Dynamic risk measurement via anticipated backward stochastic differential equations
• Infinite horizon backward stochastic Volterra integral equations and discounted control problems
• Backward stochastic Volterra integral equations on Markov chains
• Dynamic risk measure for BSVIE with jumps and semimartingale issues
• Rough Volterra equations. II: Convolutional generalized integrals
• Anticipated backward stochastic Volterra integral equations with jumps and applications to dynamic risk measures
• Mean-field backward doubly stochastic Volterra integral equations and their applications
• Well-posedness and regularity of mean-field backward doubly stochastic Volterra integral equations and applications to dynamic risk measures
• Fully-dynamic risk measures: horizon risk, time-consistency, and relations with BSDEs and BSVIEs
• Dynamic risk measures via backward doubly stochastic Volterra integral equations with jumps
• Singular backward stochastic Volterra integral equations in infinite dimensional spaces
• Capital allocation for cash-subadditive risk measures: from BSDEs to BSVIEs
• New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
• Multi-dimensional super-linear backward stochastic Volterra integral equations
• Backward stochastic Volterra integral equations with jumps and some related problems
• Quadratic-exponential growth backward stochastic Volterra integral equations with jumps and associated dynamic risk measure
• A deep solver for backward stochastic Volterra integral equations
• On solutions of backward stochastic Volterra integral equations with jumps in Hilbert spaces
• Symmetrical solutions of backward stochastic Volterra integral equations and their applications

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