Representation of the penalty term of dynamic concave utilities
Year of publication: |
2010
|
---|---|
Authors: | Delbaen, Freddy ; Peng, Shige ; Gianin, Emanuela Rosazza |
Published in: |
Finance and Stochastics. - Springer. - Vol. 14.2010, 3, p. 449-472
|
Publisher: |
Springer |
Subject: | Dynamic concave utilities | Dynamic convex risk measures | Penalty functions | g-expectations | Backward stochastic differential equations |
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