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Dynamic Risk Measures for Processes via Backward Stochastic Differential Equations Associated with Lévy Processes
- Source :
- Entropy, Volume 23, Issue 6, Entropy, Vol 23, Iss 741, p 741 (2021)
- Publication Year :
- 2021
- Publisher :
- MDPI AG, 2021.
-
Abstract
- In this paper, we study the dynamic risk measures for processes induced by backward stochastic differential equations driven by Teugel’s martingales associated with Lévy processes (BSDELs). The representation theorem for generators of BSDELs is provided. Furthermore, the time consistency of the coherent and convex dynamic risk measures for processes is characterized by means of the generators of BSDELs. Moreover, the coherency and convexity of dynamic risk measures for processes are characterized by the generators of BSDELs. Finally, we provide two numerical examples to illustrate the proposed dynamic risk measures.
- Subjects :
- Science
QC1-999
General Physics and Astronomy
lévy processes
Astrophysics
dynamic risk measures for processes
01 natural sciences
Lévy process
Article
Convexity
010104 statistics & probability
Stochastic differential equation
Applied mathematics
teugel’s martingales
0101 mathematics
dynamic coherent risk measures
Mathematics
dynamic convex risk measures
Representation theorem
Physics
010102 general mathematics
Regular polygon
QB460-466
Time consistency
backward stochastic differential equations
Subjects
Details
- ISSN :
- 10994300
- Volume :
- 23
- Database :
- OpenAIRE
- Journal :
- Entropy
- Accession number :
- edsair.doi.dedup.....ca4ca4071d7065546734efce0666c60a