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math.PR2008★ 112 cited
Representation of the penalty term of dynamic concave utilities
Freddy Delbaen, Shige Peng, Emanuela Rosazza Gianin
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-expectat…
math.PR2008
Harmonic Analysis of Stochastic Equations and Backward Stochastic Differential Equations
Freddy Delbaen, Shanjian Tang
The BMO martingale theory is extensively used to study nonlinear multi-dimensional stochastic equations (SEs) in $\cR^p$ () and backward stochastic differential e…