We study the existence of solutions to backward stochastic differential equations with drivers f(t,W,y,z) that are convex in z. We assume f to be Lipschitz in y and W but do not make growth assumptions with respect to z. We first show the existence of a unique solution (Y,Z) with bounded Z if...

If the random future evolution of values is modelled in continuous time, then a risk measure can be viewed as a functional on a space of continuous-time stochastic processes. We extend the notions of coherent and convex monetary risk measures to the space of bounded càdlàg processes that are...

We provide a characterization of the Gaussian processes with stationary increments that can be represented as a moving average with respect to a two-sided Brownian motion. For such a process we give a necessary and sufficient condition to be a semimartingale with respect to the filtration...