Representation of the penalty term of dynamic concave utilities

Freddy Delbaen (), Shige Peng () and Emanuela Rosazza Gianin ()

Finance and Stochastics, 2010, vol. 14, issue 3, 449-472

Keywords: Dynamic concave utilities; Dynamic convex risk measures; Penalty functions; g-expectations; Backward stochastic differential equations; 60G44; 60H10; 91B30; G11; G13; G22 (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/s00780-009-0119-7

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