Risk Measures and Progressive Enlargement of Filtration: A BSDE Approach
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Publication:5131410
DOI10.1137/19M1259134zbMath1452.91331arXiv1904.13257MaRDI QIDQ5131410
Alessandro Calvia, Emanuela Rosazza Gianin
Publication date: 7 November 2020
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.13257
Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Related Items (4)
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets ⋮ Anticipated backward stochastic Volterra integral equations with jumps and applications to dynamic risk measures ⋮ A linear-quadratic mean-field stochastic Stackelberg differential game with random exit time ⋮ Generalized entropic risk measures and related BSDEs
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