Dynamic Risk Measures for Anticipated Backward Doubly Stochastic Volterra Integral Equations

Entropy

Zhang Liu¹  Yijun Hu²  Liangliang Miao² 

[1] School of Computer and Information Engineering, Jiangxi Agricultural University, Nanchang 330045, China;School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China;

关键词: dynamic risk measures;    anticipated backward doubly stochastic Volterra integral equations;    comparison theorems;   

DOI  :  10.3390/e23121580

来源: DOAJ

【 摘 要 】

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.

【 授权许可】

Unknown