Continuous-time dynamic risk measures by backward stochastic Volterra integral equations |
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Authors: | Jiongmin Yong |
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Affiliation: | 1. Department of Mathematics , University of Central Florida , Orlando , 32816 , FL jyong@mail.ucf.edu |
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Abstract: | Continuous-time dynamic convex and coherent risk measures are introduced. To obtain existence of such risk measures, backward stochastic Volterra integral equations (BSVIEs, for short) are studied. For such equations, notion of adapted M-solution is introduced, well-posedness is established, duality principles and comparison theorems are presented. Then a class of dynamic convex and coherent risk measures are identified as a component of the adapted M-solutions to certain BSVIEs. |
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Keywords: | Backward stochastic Volterra integral equations Dynamic risk measure Adapted M-solution |
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