• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文会议>Chinese Control Conference >Properties of gΓ-solution and risk measure induced by gΓ-solution
【24h】

Properties of gΓ-solution and risk measure induced by gΓ-solution

机译：gΓ解的性质和gΓ解引起的风险度量

获取原文
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

In this paper,some main properties of the gΓ-solution of a constrained backward stochastic differential equation (CBSDE) are presented and a kind of risk measure induced by the gΓ-solution is proposed.These fine properties make the risk measure become a satisfactory tool for solving the hedging problem in an incomplete market.More importantly,the infconvolution of the convex risk measures can be adopted to deal with some optimization problems involving a transformation of the initial risk measures.Some results about the dynamic version of the inf-convolution of the gΓ-solutions will also be given,just like the usual case without constraints,the inf-convolution of two gΓ-solutions of CBSDEs with different coefficients is equivalent to the gΓ-solution of CBSDE with the inf-convolution of the two coefficients.In this case,it is possible to characterize the optimal risk transfer.
机译：提出了约束反向随机微分方程（CBSDE）的gΓ解的一些主要性质，并提出了一种由gΓ解引起的风险度量。这些优良的性质使得该风险度量成为令人满意的工具。更重要的是，可以采用凸风险度量的反卷积来处理一些涉及初始风险度量转换的优化问题。就像通常没有约束的情况一样，还将给出gΓ解，具有不同系数的CBSDE的两个gΓ解的inf卷积等效于具有两个系数的inf卷积的CBSDE的gΓ解。在这种情况下，可以表征最佳风险转移。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号