Risk measures for processes and BSDEs
Réveillac, Anthony; Penner, Irina (2015), Risk measures for processes and BSDEs, Finance and Stochastics, 19, 1, p. 23-66. http://dx.doi.org/10.1007/s00780-014-0243-x
TypeArticle accepté pour publication ou publié
External document linkhttp://hal.archives-ouvertes.fr/hal-00814702
Journal nameFinance and Stochastics
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Abstract (EN)The paper analyzes risk assessment for cash flows in continuous time using the notion of convex risk measures for processes. By combining a decomposition result for optional measures, and a dual representation of a convex risk measure for bounded \cd processes, we show that this framework provides a systematic approach to the both issues of model ambiguity, and uncertainty about the time value of money. We also establish a link between risk measures for processes and BSDEs.
Subjects / KeywordsBSDEs; Decomposition of optional measures; Cash subadditivity; Model ambiguity; Discounting ambiguity; Convex risk measures for processes
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Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing (2011) Article accepté pour publication ou publié