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math.PR2024
SIG-BSDE for Dynamic Risk Measures
Nacira Agram, Jan Rems, Emanuela Rosazza Gianin
In this paper, we consider dynamic risk measures induced by backward stochastic differential equations (BSDEs). We discuss different examples that come up in the literature, includ…
math.PR2024
Geometric BSDEs
Roger J. A. Laeven, Emanuela Rosazza Gianin, Marco Zullino
We introduce Geometric Backward Stochastic Differential Equations (GBSDEs) and two-driver BSDEs, which arise naturally in the geometric dynamics of dynamic return risk measures and…