Dynamic Risk Measures for Anticipated Backward Doubly Stochastic Volterra Integral Equations |
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| Authors: | Liangliang Miao Zhang Liu Yijun Hu |
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| Affiliation: | 1.School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China;2.School of Computer and Information Engineering, Jiangxi Agricultural University, Nanchang 330045, China; |
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| Abstract: | Inspired by the consideration of some inside and future market information in financial market, a class of anticipated backward doubly stochastic Volterra integral equations (ABDSVIEs) are introduced to induce dynamic risk measures for risk quantification. The theory, including the existence, uniqueness and a comparison theorem for ABDSVIEs, is provided. Finally, dynamic convex risk measures by ABDSVIEs are discussed. |
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| Keywords: | dynamic risk measures anticipated backward doubly stochastic Volterra integral equations comparison theorems |
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