A comparison theorem for backward SPDEs with jumps
Work
Year: 2014
Type: book-chapter
Abstract: In this paper we obtain a comparison theorem for backward stochastic partial differential equation (SPDEs) with jumps. We apply it to introduce space-dependent convex risk measures as a model for risk... more
Authors Bernt Øksendal, Agnès Sulem, Tusheng Zhang
Institutions University of Oslo, Norwegian School of Economics, Institut national de recherche en informatique et en automatique, Paris-Est Sup, University of Manchester +1 more
Cites: 3
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Related to: 10
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Subfield: Finance
Domain: Social Sciences
Open Access status: green