Continuous-time dynamic risk measures by backward stochastic Volterra integral equations

被引：47
|
作者：
Yong, Jiongmin [1 ]
机构：
[1] Univ Cent Florida, Dept Math, Orlando, FL 32816 USA
来源：
APPLICABLE ANALYSIS | 2007年 / 86卷 / 11期
关键词：
backward stochastic Volterra integral equations; dynamic risk measure; adapted M-solution;
D O I：
10.1080/00036810701697328
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
Continuous-time dynamic convex and coherent risk measures are introduced. To obtain existence of such risk measures, backward stochastic Volterra integral equations (BSVIEs, for short) are studied. For such equations, notion of adapted M-solution is introduced, well-posedness is established, duality principles and comparison theorems are presented. Then a class of dynamic convex and coherent risk measures are identified as a component of the adapted M-solutions to certain BSVIEs.
引用
收藏
页码：1429 / 1442
页数：14
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