Quadratic BSDEs with jumps: related non-linear expectations
Date
2016Publisher city
ParisLink to item file
https://arxiv.org/abs/1403.2730v1Dewey
Probabilités et mathématiques appliquéesSujet
dynamic risk measures; inf-convolution; BSDEs; on-linear Doob-Meyer decomposition; jumps; quadratic growthJournal issue
Stochastics and DynamicsVolume
16Number
4Publication date
2016Article pages
n°1650012Publisher
World ScientificCollections
Metadata
Show full item recordAuthor
Kazi-Tani, Mohamed Nabil
89626 Centre de Mathématiques Appliquées - Ecole Polytechnique [CMAP]
Possamaï, Dylan
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Zhou, Chao