Representation of the penalty term of dynamic concave utilities

2008/02/29 by Freddy Delbaen, Shige Peng, Emanuela Rosazza Gianin · 3 citations
Mathematics · Economics, Econometrics and Finance · #math.PR #q-fin.RM #msc:60G40 #msc:60G46

paper · pdf · doi:10.1007/s00780-009-0119-7

An updated version is published in Finance & Stochastics. The final publication is available at http://www.springerlink.com

arxiv created 2009/12/14 · arxiv updated 2010/01/07

Abstract

In this paper we will provide a representation of the penalty term of general dynamic concave utilities (hence of dynamic convex risk measures) by applying the theory of g-expectations.

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• Adapted Law Invariance and Time-Consistent Dynamic Risk Measures
• An optimal transport foundation for a class of dynamically consistent risk measures
• The non-linear multiple stopping problem: between the discrete and the continuous time

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