Risk measures for processes and BSDEs
type: Dataset
description: The paper analyzes risk assessment for cash flows in continuous time using the notion of convex risk measures for processes. By combining a decomposition result for optional measures, and a dual representation of a convex risk measure for bounded \cd processes, we show that this framework provides a systematic approach to the both issues of model ambiguity, and uncertainty about the time value of money. We also establish a link between risk measures for processes and BSDEs.
issued: 2026-05-11T10:46:11.523100
language: en
modified: 2026-05-11T10:46:11.523106
contact point: Organization
  fn: CCSD
keyword: ams-2010-primary-60g07-secondary-91b30-91b16-60h10-60g40
keyword: bsdes
keyword: cash-subadditivity
keyword: convex-risk-measures-for-processes
keyword: decomposition-of-optional-measures
keyword: discounting-ambiguity
keyword: infoeu-reposemanticsarticle
keyword: journal-articles
keyword: mathmath-prmathematics-mathprobability-mathpr
keyword: model-ambiguity
keyword: qfinrmquantitative-finance-q-finrisk-management-q-finrm
landing page: 0949-2984

Risk measures for processes and BSDEs
type: Distribution
format: HTML
issued: 2026-05-11T10:46:11.556187
modified: 2026-05-11T10:46:11.507574
access URL: https://hal.science/hal-00814702

test_moissonnage_selune
type: Agent