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.
Articolo in rivista - Articolo scientifico
Backward stochastic differential equations; Dynamic concave utilities; Dynamic convex risk measures; g-expectations; Penalty functions;
English
2010
14
3
449
472
none
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].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/17350
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