Abstract
We consider the question of an optimal transaction between two investors to minimize their risks. We define a dynamic entropic risk measure using backward stochastic differential equations related to a continuous-time single jump process. The inf-convolution of dynamic entropic risk measures is a key transformation in solving the optimization problem.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
1 articles.
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1. Discrete-Time BSDEs with Random Terminal Horizon;Stochastic Analysis and Applications;2013-12-09