Dynamic Risk Measures for Anticipated Backward Doubly Stochastic Volterra Integral Equations.
Entropy (Basel)
; 23(12)2021 Nov 26.
Article
en En
| MEDLINE
| ID: mdl-34945885
ABSTRACT
Inspired by the consideration of some inside and future market information in financial market, a class of anticipated backward doubly stochastic Volterra integral equations (ABDSVIEs) are introduced to induce dynamic risk measures for risk quantification. The theory, including the existence, uniqueness and a comparison theorem for ABDSVIEs, is provided. Finally, dynamic convex risk measures by ABDSVIEs are discussed.
Texto completo:
1
Colección:
01-internacional
Banco de datos:
MEDLINE
Tipo de estudio:
Etiology_studies
/
Risk_factors_studies
Idioma:
En
Revista:
Entropy (Basel)
Año:
2021
Tipo del documento:
Article
País de afiliación:
China