Anticipated Backward Stochastic Volterra Integral Equations with Jumps and Applications to Dynamic Risk Measures
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Physics and Astronomy,General Mathematics
Link
https://link.springer.com/content/pdf/10.1007/s10473-023-0321-2.pdf
Reference43 articles.
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2. Artzner P, Delbaen F, Eber J M, Heath D. Coherent measures of risk. Math Finance, 1999, 9(3): 203–228
3. Barles G, Buckdahn R, Pardoux E. Backward stochastic differential equations and integral-partial differential equations. Stochastics Stochastics Rep, 1997, 60: 57–83
4. Calvia A, Gianin E R. Risk measures and progressive enlargement of filtration: A BSDE approach. SIAM J Financial Math, 2020, 11: 815–848
5. Delong Ł. Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications. New York: Springer, 2013
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