EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (28) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1007/s00780-009-0119-7 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:finsto:v:14:y:2010:i:3:p:449-472

Ordering information: This journal article can be ordered from
http://www.springer. ... ance/journal/780/PS2

Access Statistics for this article

Finance and Stochastics is currently edited by M. Schweizer

More articles in Finance and Stochastics from Springer
Bibliographic data for series maintained by Sonal Shukla ().

 
Page updated 2019-04-09
Handle: RePEc:spr:finsto:v:14:y:2010:i:3:p:449-472