Optimal Design of Dynamic Default Risk Measures
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Publication:4903036
DOI10.1239/jap/1354716651zbMath1262.60055MaRDI QIDQ4903036
Publication date: 19 January 2013
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1354716651
backward stochastic differential equation; inf-convolution; minimal risk; dynamic entropic risk measure
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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Cites Work
- Adapted solution of a backward stochastic differential equation
- A general theory of finite state backward stochastic difference equations
- Solutions of Backward Stochastic Differential Equations on Markov Chains
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- The Representation of Martingales of Jump Processes
- Backward Stochastic Differential Equations for a Single Jump Process
- Stochastic finance. An introduction in discrete time
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