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An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior

Chong, WF; Hu, Y; Liang, GC; Zariphopoulou, T

Liang, GC (reprint author), Univ Warwick, Dept Stat, Coventry CV4 7AL, W Midlands, England.

FINANCE AND STOCHASTICS, 2019; 23 (1): 239

Abstract

Using elements from the theory of ergodic backward stochastic differential equations (BSDEs), we study the behavior of forward entropic risk measures ......

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