Backward Stochastic Difference Equations and Nearly Time-Consistent Nonlinear Expectations
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
http://epubs.siam.org/doi/pdf/10.1137/090763688
Reference17 articles.
1. Coherent multiperiod risk adjusted values and Bellman’s principle
2. Inf-convolution of risk measures and optimal risk transfer
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5. Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
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