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

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

Using elements from the theory of ergodic backward stochastic differential equations (BSDEs), we study the behavior of forward entropic risk measures in stochastic factor models. We derive general representation results (via both BSDEs and convex duality) and examine th... View more
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