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An ergodic BSDE approach to forward entropic risk measures : representation and large-maturity behavior

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Chong, Wing Fung, Hu, Ying, Liang, Gechun and Zariphopoulou, Thaleia (2019) An ergodic BSDE approach to forward entropic risk measures : representation and large-maturity behavior. Finance and Stochastics, 23 (1). pp. 239-273. doi:10.1007/s00780-018-0377-3 ISSN 0949-2984.

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Official URL: https://doi.org/10.1007/s00780-018-0377-3

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Abstract

Using elements from the theory of ergodic backward stochastic differential equations (BSDEs), we study the behavior of forward entropic risk measures in stochastic factor models. We derive general representation results (via both BSDEs and convex duality) and examine their asymptotic behavior for risk positions of large maturities. We also compare them with their classical counterparts and provide a parity result.

Item Type: Journal Article
Subjects: Q Science > QA Mathematics
Divisions: Faculty of Science, Engineering and Medicine > Science > Statistics
Library of Congress Subject Headings (LCSH): Stochastic differential equations, Ergodic theory
Journal or Publication Title: Finance and Stochastics
Publisher: Springer
ISSN: 0949-2984
Official Date: January 2019
Dates:
DateEvent
January 2019Published
12 December 2018Available
24 September 2018Accepted
Volume: 23
Number: 1
Page Range: pp. 239-273
DOI: 10.1007/s00780-018-0377-3
Status: Peer Reviewed
Publication Status: Published
Reuse Statement (publisher, data, author rights): This is a post-peer-review, pre-copyedit version of an article published in [insert journal title]. The final authenticated version is available online at: http://dx.doi.org/[insert DOI]”.
Access rights to Published version: Open Access (Creative Commons)
Date of first compliant deposit: 5 October 2018
Date of first compliant Open Access: 16 January 2019
RIOXX Funder/Project Grant:
Project/Grant IDRIOXX Funder NameFunder ID
UNSPECIFIEDUniversity of Illinois at Urbana-Champaignhttp://dx.doi.org/10.13039/100005302
ANR-11-LABX-0020-01[ANR] Agence Nationale de la Recherchehttp://dx.doi.org/10.13039/501100001665
15-CE05-0024[ANR] Agence Nationale de la Recherchehttp://dx.doi.org/10.13039/501100001665
16-CE40-0015-01[ANR] Agence Nationale de la Recherchehttp://dx.doi.org/10.13039/501100001665
170137[RS] Royal Societyhttp://dx.doi.org/10.13039/501100000288
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