Dynamic Risk Measures for Anticipated Backward Doubly Stochastic Volterra Integral Equations
Inspired by the consideration of some inside and future market information in financial market, a class of anticipated backward doubly stochastic Volterra integral equations (ABDSVIEs) are introduced to induce dynamic risk measures for risk quantification. The theory, including the existence, unique...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2021-11-01
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| Series: | Entropy |
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| Online Access: | https://www.mdpi.com/1099-4300/23/12/1580 |
| _version_ | 1827672668564881408 |
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| author | Liangliang Miao Zhang Liu Yijun Hu |
| author_facet | Liangliang Miao Zhang Liu Yijun Hu |
| author_sort | Liangliang Miao |
| collection | DOAJ |
| description | Inspired by the consideration of some inside and future market information in financial market, a class of anticipated backward doubly stochastic Volterra integral equations (ABDSVIEs) are introduced to induce dynamic risk measures for risk quantification. The theory, including the existence, uniqueness and a comparison theorem for ABDSVIEs, is provided. Finally, dynamic convex risk measures by ABDSVIEs are discussed. |
| first_indexed | 2024-03-10T04:11:31Z |
| format | Article |
| id | doaj.art-cb9ac0ba16da46a5bf368cb5851c6540 |
| institution | Directory Open Access Journal |
| issn | 1099-4300 |
| language | English |
| last_indexed | 2024-03-10T04:11:31Z |
| publishDate | 2021-11-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Entropy |
| spelling | doaj.art-cb9ac0ba16da46a5bf368cb5851c65402023-11-23T08:10:10ZengMDPI AGEntropy1099-43002021-11-012312158010.3390/e23121580Dynamic Risk Measures for Anticipated Backward Doubly Stochastic Volterra Integral EquationsLiangliang Miao0Zhang Liu1Yijun Hu2School of Mathematics and Statistics, Wuhan University, Wuhan 430072, ChinaSchool of Computer and Information Engineering, Jiangxi Agricultural University, Nanchang 330045, ChinaSchool of Mathematics and Statistics, Wuhan University, Wuhan 430072, ChinaInspired by the consideration of some inside and future market information in financial market, a class of anticipated backward doubly stochastic Volterra integral equations (ABDSVIEs) are introduced to induce dynamic risk measures for risk quantification. The theory, including the existence, uniqueness and a comparison theorem for ABDSVIEs, is provided. Finally, dynamic convex risk measures by ABDSVIEs are discussed.https://www.mdpi.com/1099-4300/23/12/1580dynamic risk measuresanticipated backward doubly stochastic Volterra integral equationscomparison theorems |
| spellingShingle | Liangliang Miao Zhang Liu Yijun Hu Dynamic Risk Measures for Anticipated Backward Doubly Stochastic Volterra Integral Equations Entropy dynamic risk measures anticipated backward doubly stochastic Volterra integral equations comparison theorems |
| title | Dynamic Risk Measures for Anticipated Backward Doubly Stochastic Volterra Integral Equations |
| title_full | Dynamic Risk Measures for Anticipated Backward Doubly Stochastic Volterra Integral Equations |
| title_fullStr | Dynamic Risk Measures for Anticipated Backward Doubly Stochastic Volterra Integral Equations |
| title_full_unstemmed | Dynamic Risk Measures for Anticipated Backward Doubly Stochastic Volterra Integral Equations |
| title_short | Dynamic Risk Measures for Anticipated Backward Doubly Stochastic Volterra Integral Equations |
| title_sort | dynamic risk measures for anticipated backward doubly stochastic volterra integral equations |
| topic | dynamic risk measures anticipated backward doubly stochastic Volterra integral equations comparison theorems |
| url | https://www.mdpi.com/1099-4300/23/12/1580 |
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