Title

Continuous-Time Dynamic Risk Measures By Backward Stochastic Volterra Integral Equations

Keywords

2000 Mathematics Subject Classifications; 60H20; 91B30; 91B70; Adapted M-solution; Backward stochastic Volterra integral equations; Dynamic risk measure

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. †Dedicated to Professor M.Z. Nashed. © 2007, Taylor & Francis Group, LLC.

Publication Date

1-1-2007

Publication Title

Applicable Analysis

Volume

86

Issue

11

Number of Pages

1429-1442

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1080/00036810701697328

Socpus ID

76149098944 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/76149098944

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