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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
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Official URL: https://doi.org/10.1007/s00780-018-0377-3
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 | ||||||||||||||||||
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| Subjects: | Q Science > QA Mathematics | ||||||||||||||||||
| Divisions: | Faculty of 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: |
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| Volume: | 23 | ||||||||||||||||||
| Number: | 1 | ||||||||||||||||||
| Page Range: | pp. 239-273 | ||||||||||||||||||
| DOI: | 10.1007/s00780-018-0377-3 | ||||||||||||||||||
| Status: | Peer Reviewed | ||||||||||||||||||
| Publication Status: | Published | ||||||||||||||||||
| Publisher Statement: | 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 | ||||||||||||||||||
| RIOXX Funder/Project Grant: |
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