Dynamic Risk Measures and Path-Dependent Second Order PDEs

Author:

Bion-Nadal Jocelyne

Publisher

Springer International Publishing

Reference22 articles.

1. Aliprantis, C., Border, K.: Infinite Dimensional Analysis, 2nd edn. Springer, Berlin (1999)

2. Wiley series in probability and mathematical statistics;P Billingsley,1999

3. Bion-Nadal, J.: Martingale problem for integral-differential operator with path dependent coefficient, preprint (2015)

4. Bion-Nadal, J.: Time consistent convex Feller processes and non linear second order partial differential equations, preprint. arXiv:1207.1742 (2012)

5. Bion-Nadal, J.: Dynamic risk measures: time consistency and risk measures from BMO martingales. Finance Stochast. 12, 219–244 (2008)

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