Title

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

Authors

Authors

J. Yong

Comments

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Abbreviated Journal Title

Appl. Anal.

Keywords

backward stochastic Volterra integral equations; dynamic risk measure; adapted M-solution; ADAPTED SOLUTION; Mathematics, Applied

Abstract

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.

Journal Title

Applicable Analysis

Volume

86

Issue/Number

11

Publication Date

1-1-2007

Document Type

Article

Language

English

First Page

1429

Last Page

1442

WOS Identifier

WOS:000252250400008

ISSN

0003-6811

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