Representation of the penalty term of dynamic concave utilities
Freddy DelbaenShige PengEmanuela Rosazza Gianin
所有作者
Freddy DelbaenShige PengEmanuela Rosazza Gianin
文献摘要
In this paper we will provide a representation of the penalty term of general
dynamic concave utilities (hence of dynamic convex risk measures) by applying
the theory of g-expectations.