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Dynamic Risk Measures for Anticipated Backward Doubly Stochastic Volterra Integral Equations.
Miao, Liangliang; Liu, Zhang; Hu, Yijun.
Affiliation
  • Miao L; School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China.
  • Liu Z; School of Computer and Information Engineering, Jiangxi Agricultural University, Nanchang 330045, China.
  • Hu Y; School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China.
Entropy (Basel) ; 23(12)2021 Nov 26.
Article in 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.
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Full text: 1 Collection: 01-internacional Database: MEDLINE Type of study: Etiology_studies / Risk_factors_studies Language: En Journal: Entropy (Basel) Year: 2021 Document type: Article Affiliation country: China
Fulltext
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Full text: 1 Collection: 01-internacional Database: MEDLINE Type of study: Etiology_studies / Risk_factors_studies Language: En Journal: Entropy (Basel) Year: 2021 Document type: Article Affiliation country: China