Dynamic Risk Measures for Anticipated Backward Doubly Stochastic Volterra Integral Equations
2021
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.
Keywords:
- Correction
- Source
- Cite
- Save
- Machine Reading By IdeaReader
0
References
0
Citations
NaN
KQI