File Download
Supplementary
-
Citations:
- Appears in Collections:
Article: A Converse Comparison Theorem for Discrete-time Finite-state BSDEs and Risk Measures Using g-expectation
Title | A Converse Comparison Theorem for Discrete-time Finite-state BSDEs and Risk Measures Using g-expectation |
---|---|
Authors | |
Keywords | BSDE Converse comparison theorem Risk measures Optimal design |
Issue Date | 2013 |
Publisher | Serials Publications. The Journal's web site is located at http://www.math.lsu.edu/cosa/ |
Citation | Communications on Stochastic Analysis, 2013, v. 7 n. 2, p. 227-244 How to Cite? |
Abstract | This paper studies properties of non-linear expectations defined using the discrete-time finite-state Backward Stochastic Difference Equations (BSDE) proposed by Cohen and Elliott [6]. We also establish a converse comparison theorem. Properties of risk measures defined by non-linear ex-
pectations, especially the representation theorems, will be given. Finally we apply the theory of BSDEs to optimal design of dynamic risk measures. |
Persistent Identifier | http://hdl.handle.net/10722/189445 |
ISSN | 2020 SCImago Journal Rankings: 0.224 |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Elliott, R | en_US |
dc.contributor.author | LIN, Y | en_US |
dc.contributor.author | Yang, H | en_US |
dc.date.accessioned | 2013-09-17T14:41:45Z | - |
dc.date.available | 2013-09-17T14:41:45Z | - |
dc.date.issued | 2013 | en_US |
dc.identifier.citation | Communications on Stochastic Analysis, 2013, v. 7 n. 2, p. 227-244 | en_US |
dc.identifier.issn | 0973-9599 | - |
dc.identifier.uri | http://hdl.handle.net/10722/189445 | - |
dc.description.abstract | This paper studies properties of non-linear expectations defined using the discrete-time finite-state Backward Stochastic Difference Equations (BSDE) proposed by Cohen and Elliott [6]. We also establish a converse comparison theorem. Properties of risk measures defined by non-linear ex- pectations, especially the representation theorems, will be given. Finally we apply the theory of BSDEs to optimal design of dynamic risk measures. | - |
dc.language | eng | en_US |
dc.publisher | Serials Publications. The Journal's web site is located at http://www.math.lsu.edu/cosa/ | en_US |
dc.relation.ispartof | Communications on Stochastic Analysis | en_US |
dc.subject | BSDE | - |
dc.subject | Converse comparison theorem | - |
dc.subject | Risk measures | - |
dc.subject | Optimal design | - |
dc.title | A Converse Comparison Theorem for Discrete-time Finite-state BSDEs and Risk Measures Using g-expectation | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yang, H: hlyang@hku.hk | en_US |
dc.identifier.authority | Yang, H=rp00826 | en_US |
dc.description.nature | link_to_OA_fulltext | - |
dc.identifier.hkuros | 221031 | en_US |
dc.identifier.volume | 7 | en_US |
dc.identifier.issue | 2 | - |
dc.identifier.spage | 227 | en_US |
dc.identifier.epage | 244 | en_US |
dc.publisher.place | India | en_US |
dc.identifier.issnl | 0973-9599 | - |