An ergodic BSDE approach to forward entropic risk measures : representation and large-maturity behavior

Wing Fung Chong, Ying Hu, Gechun Liang, Thaleia Zariphopoulou

Year of publication:	2019
Authors:	Chong, Wing Fung ; Hu, Ying ; Liang, Gechun ; Zariphopoulou-Souganidis, Thaleia
Published in:	Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 23.2019, 1, p. 239-273
Subject:	Forward entropic risk measures \| Stochastic factor models \| Ergodic BSDE \| Convex duality representation \| Large-maturity behavior \| Theorie \| Theory \| Stochastischer Prozess \| Stochastic process \| Risiko \| Risk \| Risikomaß \| Risk measure \| Messung \| Measurement \| Entropie \| Entropy \| Faktorenanalyse \| Factor analysis

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