Representation of the penalty term of dynamic concave utilities
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Publication:650761
DOI10.1007/S00780-009-0119-7zbMATH Open1226.91025arXiv0802.1121OpenAlexW3103651809MaRDI QIDQ650761FDOQ650761
Authors: Freddy Delbaen, Shige Peng, Emanuela Rosazza Gianin 
Publication date: 27 November 2011
Published in: Finance and Stochastics (Search for Journal in Brave)
Abstract: In this paper we will provide a representation of the penalty term of general dynamic concave utilities (hence of dynamic convex risk measures) by applying the theory of g-expectations.
Full work available at URL: https://arxiv.org/abs/0802.1121
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- scientific article; zbMATH DE number 2171635
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)
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