Time-coherent risk measures for continuous-time Markov chains
From MaRDI portal
Publication:4579838
Abstract: We develop an approach to time-consistent risk evaluation of continuous-time processes in Markov systems. Our analysis is based on dual representation of coherent risk measures, differentiability concepts for multivalued mappings, and a refined concept of time consistency. We prove that the risk measures are defined by a family of risk evaluation functionals (transition risk mappings), which depend on state, time, and the transition function. Their dual representations are risk multikernels of the Markov system. We introduce the concept of a semi-derivative of a risk multikernel and use it to generalize the concept of a generator of a Markov process. Using these semi-derivatives, we derive a system of ordinary differential equations that the risk evaluation must satisfy, which generalize the classical backward Kolmogorov equations for Markov processes. Additionally, we construct convergent discrete-time approximations to the continuous-time risk measures.
Recommendations
- Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach
- Continuous-time Markov analysis for risk evaluation
- Time consistent dynamic risk processes
- Continuous-time dynamic risk measures by backward stochastic Volterra integral equations
- Coherent and convex monetary risk measures for bounded càdlàg processes
Cites work
- scientific article; zbMATH DE number 3760850 (Why is no real title available?)
- scientific article; zbMATH DE number 490143 (Why is no real title available?)
- scientific article; zbMATH DE number 1795842 (Why is no real title available?)
- Approximations, expansions and univalued representations of multifunctions
- Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
- Coherent and convex monetary risk measures for bounded càdlàg processes
- Coherent measures of risk
- Coherent multiperiod risk adjusted values and Bellman's principle
- Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
- Composition of time-consistent dynamic monetary risk measures in discrete time
- Conditional Risk Mappings
- Conditional and dynamic convex risk measures
- Convex functions, monotone operators and differentiability
- Convex measures of risk and trading constraints
- Convex risk measures and the dynamics of their penalty functions
- Credit risk: Modelling, valuation and hedging
- DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
- Differentiability of Relations and Differential Stability of Perturbed Optimization Problems
- Differentiable selections and Castaing representations of multifunctions
- Dual Stochastic Dominance and Related Mean-Risk Models
- Dual characterization of properties of risk measures on Orlicz hearts
- Dynamic coherent risk measures
- Dynamic monetary risk measures for bounded discrete-time processes
- Dynamic risk measures: Time consistency and risk measures from BMO martingales
- Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach
- FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES
- Filtration-consistent nonlinear expectations and related g-expectations
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- Generalized Delta Theorems for Multivalued Mappings and Measurable Selections
- Law invariant convex risk measures
- MDP algorithms for portfolio optimization problems in pure jump markets
- Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities
- Modeling, measuring and managing risk
- On consistency of stochastic dominance and mean-semideviation models
- Optimal Consumption and Insurance: A Continuous-time Markov Chain Approach
- Optimal high-frequency trading with limit and market orders
- Optimization of Convex Risk Functions
- Polyhedral Risk Measures in Stochastic Programming
- Probability and stochastics.
- Proto-differentiability of set-valued mappings and its applications in optimization
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- Regular Castaing Representations of Multifunctions with Applications to Stochastic Programming
- Representation results for law invariant time consistent functions
- Risk-averse dynamic programming for Markov decision processes
- Set-valued analysis
- Stability Theory for Systems of Inequalities, Part II: Differentiable Nonlinear Systems
- Statistical estimation of composite risk functionals and risk optimization problems
- Stochastic finance. An introduction in discrete time
- Tangent Sets’ Calculus and Necessary Conditions for Extremality
- The Markov Chain Market
- Time consistency conditions for acceptability measures, with an application to tail value at risk
- Time consistent dynamic risk measures
- Time consistent dynamic risk processes
- Variational Analysis
Cited in
(7)- Risk-averse control of continuous-time Markov chains
- Markov chains under nonlinear expectation
- Wasserstein perturbations of Markovian transition semigroups
- Time sensitive functionals of marked Cox processes
- Continuous-time Markov analysis for risk evaluation
- Martingale characterizations of risk-averse stochastic optimization problems
- Risk forms: representation, disintegration, and application to partially observable two-stage systems
This page was built for publication: Time-coherent risk measures for continuous-time Markov chains
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4579838)
