Dynamic Risk Measures and Path-Dependent Second Order PDEs View Full Text


Ontology type: schema:Chapter      Open Access: True


Chapter Info

DATE

2016

AUTHORS

Jocelyne Bion-Nadal

ABSTRACT

We propose new notions of regular solutions and viscosity solutions for path-dependent second order partial differential equations. Making use of the martingale problem approach to path-dependent diffusion processes, we explicitly construct families of time-consistent dynamic risk measures on the set of càdlàg paths \(I\!R^n\) valued endowed with the Skorokhod topology. These risk measures are shown to have regularity properties. We prove then that these time-consistent dynamic risk measures provide viscosity supersolutions and viscosity subsolutions for path-dependent semi-linear second order partial differential equations. More... »

PAGES

147-178

References to SciGraph publications

Book

TITLE

Stochastics of Environmental and Financial Economics

ISBN

978-3-319-23424-3
978-3-319-23425-0

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/978-3-319-23425-0_6

DOI

http://dx.doi.org/10.1007/978-3-319-23425-0_6

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1019024156


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