On the representation for dynamically consistent nonlinear evaluations: uniformly continuous case
| Autor: | Zheng, Shiqiu, Li, Shoumei |
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| Rok vydání: | 2015 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | A system of dynamically consistent nonlinear evaluation (${\cal{F}}$-evaluation) provides an ideal characterization for the dynamical behaviors of risk measures and the pricing of contingent claims. The purpose of this paper is to study the representation for the ${\cal{F}}$-evaluation by the solution of a backward stochastic differential equation (BSDE). Under a general domination condition, we prove that any ${\cal{F}}$-evaluation can be represented by the solution of a BSDE with a generator which is Lipschitz in $y$ and uniformly continuous in $z$. Comment: 34 pages. minor corrections. Comments are welcome |
| Databáze: | arXiv |
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