Representation of the penalty term of dynamic concave utilities

被引：99

作者：

Delbaen, Freddy ^{[2
]}

Peng, Shige ^{[3
]}

Gianin, Emanuela Rosazza ^{[1
]}

机构：

[1] Univ Milanobicocca, Dipartimento Metodi Quantitat Sci Econ & Aziendal, I-20126 Milan, Italy

[2] ETH, Dept Math, CH-8092 Zurich, Switzerland

[3] Shandong Univ, Inst Math, Jinan 250100, Peoples R China

来源：

FINANCE AND STOCHASTICS | 2010年 / 14卷 / 03期

关键词：

Dynamic concave utilities; Dynamic convex risk measures; Penalty functions; g-expectations; Backward stochastic differential equations; MONETARY RISK MEASURES; COHERENT; CONSISTENT; EXPECTATIONS;

D O I：

10.1007/s00780-009-0119-7

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In the context of a Brownian filtration and with a fixed finite time horizon, we provide a representation of the penalty term of general dynamic concave utilities (hence of dynamic convex risk measures) by applying the theory of g-expectations.

引用

页码：449 / 472

页数：24

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