Representation of the penalty term of dynamic concave utilities

Details Representation of the penalty term of dynamic concave utilities Representation of the penalty term of dynamic concave utilities

2008-02-08

arxiv.org/abs/0802.1121v3

Mathematics

Probability

An updated version is published in Finance & Stochastics. The final publication is available at http://www.springerlink.com

Scientific paper

10.1007/s00780-009-0119-7

In this paper we will provide a representation of the penalty term of general
dynamic concave utilities (hence of dynamic convex risk measures) by applying
the theory of g-expectations.

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