Representation of the penalty term of dynamic concave utilities
نویسندگان
چکیده
منابع مشابه
4 M ar 2 00 9 Representation of the penalty term of dynamic concave utilities
In the context of a Brownian filtration and with a fixed finite time horizon, we will 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.
متن کاملar X iv : 0 80 2 . 11 21 v 1 [ m at h . PR ] 8 F eb 2 00 8 Representation of the penalty term of dynamic concave utilities
In this paper we will 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.
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ورودعنوان ژورنال:
- Finance and Stochastics
دوره 14 شماره
صفحات -
تاریخ انتشار 2010