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20142025
most citedProcess-Based Risk Measures and Risk-Averse Control of Discrete-Time Systems

5 citations · 8 across the 3 of their papers we have counts for

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Showing 2017Show all

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math.OC2017★ 3 cited

A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation

Andrzej Ruszczynski, Jianing Yao

We propose a numerical recipe for risk evaluation defined by a backward stochastic differential equation. Using dual representation of the risk measure, we convert the risk valuati…