In the context of a Brownian filtration and with a fixed finite time horizon, we 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. © 2009 Springer-Verlag.
Delbaen, F., Peng, S., ROSAZZA GIANIN, E. (2010). Representation of the penalty term of dynamic concave utilities. FINANCE AND STOCHASTICS, 14(3), 449-472 [10.1007/s00780-009-0119-7].
Representation of the penalty term of dynamic concave utilities
ROSAZZA GIANIN, EMANUELA
2010
Abstract
In the context of a Brownian filtration and with a fixed finite time horizon, we 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. © 2009 Springer-Verlag.
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