CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY
From MaRDI portal
Publication:3650923
DOI10.1111/j.1467-9965.2009.00380.xzbMath1184.91111arXiv0710.4106MaRDI QIDQ3650923
Claudia Ravanelli, Nicole El Karoui
Publication date: 7 December 2009
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0710.4106
backward stochastic differential equations; model uncertainty; risk measures; inf-convolution; Fenchel-Legendre transform
60H20: Stochastic integral equations
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