Abstract
This 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 expectations, especially the representation theorems, will be given. Finally we
apply the theory of BSDEs to optimal design of dynamic risk measures.
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 expectations, especially the representation theorems, will be given. Finally we
apply the theory of BSDEs to optimal design of dynamic risk measures.
| Original language | English |
|---|---|
| Pages (from-to) | 227-244 |
| Journal | Communications on Stochastic Analysis |
| Volume | 7 |
| Issue number | 2 |
| Publication status | Published - 2013 |
| Externally published | Yes |
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Elliott, R., Lin, Y., & Yang, H. (2013). A CONVERSE COMPARISON THEOREM FOR DISCRETE-TIME FINITE-STATE BSDES AND RISK MEASURES USING g-EXPECTATION. Communications on Stochastic Analysis, 7(2), 227-244.