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Article: A Converse Comparison Theorem for Discrete-time Finite-state BSDEs and Risk Measures Using g-expectation

TitleA Converse Comparison Theorem for Discrete-time Finite-state BSDEs and Risk Measures Using g-expectation
Authors
KeywordsBSDE
Converse comparison theorem
Risk measures
Optimal design
Issue Date2013
PublisherSerials Publications. The Journal's web site is located at http://www.math.lsu.edu/cosa/
Citation
Communications on Stochastic Analysis, 2013, v. 7 n. 2, p. 227-244 How to Cite?
AbstractThis paper studies properties of non-linear expectations defined using the discrete-time finite-state Backward Stochastic Difference Equations (BSDE) proposed by Cohen and Elliott [6]. We also establish a converse comparison theorem. Properties of risk measures defined by non-linear ex- pectations, especially the representation theorems, will be given. Finally we apply the theory of BSDEs to optimal design of dynamic risk measures.
Persistent Identifierhttp://hdl.handle.net/10722/189445
ISSN

 

DC FieldValueLanguage
dc.contributor.authorElliott, Ren_US
dc.contributor.authorLIN, Yen_US
dc.contributor.authorYang, Hen_US
dc.date.accessioned2013-09-17T14:41:45Z-
dc.date.available2013-09-17T14:41:45Z-
dc.date.issued2013en_US
dc.identifier.citationCommunications on Stochastic Analysis, 2013, v. 7 n. 2, p. 227-244en_US
dc.identifier.issn0973-9599-
dc.identifier.urihttp://hdl.handle.net/10722/189445-
dc.description.abstractThis paper studies properties of non-linear expectations defined using the discrete-time finite-state Backward Stochastic Difference Equations (BSDE) proposed by Cohen and Elliott [6]. We also establish a converse comparison theorem. Properties of risk measures defined by non-linear ex- pectations, especially the representation theorems, will be given. Finally we apply the theory of BSDEs to optimal design of dynamic risk measures.-
dc.languageengen_US
dc.publisherSerials Publications. The Journal's web site is located at http://www.math.lsu.edu/cosa/en_US
dc.relation.ispartofCommunications on Stochastic Analysisen_US
dc.subjectBSDE-
dc.subjectConverse comparison theorem-
dc.subjectRisk measures-
dc.subjectOptimal design-
dc.titleA Converse Comparison Theorem for Discrete-time Finite-state BSDEs and Risk Measures Using g-expectationen_US
dc.typeArticleen_US
dc.identifier.emailYang, H: hlyang@hku.hken_US
dc.identifier.authorityYang, H=rp00826en_US
dc.description.naturelink_to_OA_fulltext-
dc.identifier.hkuros221031en_US
dc.identifier.volume7en_US
dc.identifier.issue2-
dc.identifier.spage227en_US
dc.identifier.epage244en_US
dc.publisher.placeIndiaen_US

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