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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…
math.PR2023
Capital allocation for cash-subadditive risk measures: from BSDEs to BSVIEs
Emanuela Rosazza Gianin, Marco Zullino
In the context of risk measures, the capital allocation problem is widely studied in the literature where different approaches have been developed, also in connection with cooperat…