Risk measures for processes and BSDEs
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Publication:486926
DOI10.1007/s00780-014-0243-xzbMath1306.60025arXiv1304.4853OpenAlexW2154710747MaRDI QIDQ486926
Anthony Réveillac, Irina Penner
Publication date: 19 January 2015
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1304.4853
backward stochastic differential equationsmodel ambiguitycash subadditivitydiscounting ambiguityrisk measures for processes
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Stopping times; optimal stopping problems; gambling theory (60G40) General theory of stochastic processes (60G07)
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