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 |