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20092023
most citedBackward stochastic dynamics on a filtered probability space

23 citations · 85 across the 29 of their papers we have counts for

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q-fin.MF2016

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

Wing Fung Chong, Ying Hu, Gechun Liang +1

Using elements from the theory of ergodic backward stochastic differential equations (BSDE), we study the behavior of forward entropic risk measures. We provide their general repre…