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)
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