BSDEs with jumps, optimization and applications to dynamic risk measures

Stochastic Processes and their Applications

Volumn 123, Issue 8, 2013, Pages 3328-3357

  Quenez, Marie Claire ^a,b   Sulem, Agnès ^b,c  

^a UNIVERSITÉ PARIS DESCARTES   (France)

^b INRIA   (France)

^c UNIVERSITÉ GUSTAVE EIFFEL   (France)

Author keywords

Backward stochastic differential equations with jumps; Comparison theorems; Dual representation; Risk measures; Robust optimization

Indexed keywords

BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH JUMPS; COMPARISON THEOREM; DUAL REPRESENTATION; RISK MEASURES; ROBUST OPTIMIZATION;

BROWNIAN MOVEMENT;

OPTIMIZATION;

EID: 84877854342     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2013.02.016     Document Type: Article

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