Risk Measures and Progressive Enlargement of Filtration: A BSDE Approach
2020
We consider dynamic risk measures induced by backward stochastic differential equations (BSDEs) in an enlargement of filtration setting. On a fixed probability space, we are given a standard Browni...
Keywords:
- Correction
- Source
- Cite
- Save
- Machine Reading By IdeaReader
0
References
0
Citations
NaN
KQI