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

    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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