Dual Representation of Unbounded Dynamic Concave Utilities ⋆

Preprints, Working Papers, ... Year : 2024

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Shengjun Fan

China University of Mining and Technology

Ying Hu

Institut de Recherche Mathématique de Rennes

Shanjian Tang

Fudan University [Shanghai]

Dynamic concave utilities Dynamic convex risk measure Dual representation Backward stochastic differential equation Unbounded terminal value

Probability [math.PR]

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https://cnrs.hal.science/hal-04549531

Submitted on : Wednesday, April 17, 2024-11:27:26 AM

Last modification on : Saturday, April 27, 2024-3:13:56 AM

hal-04549531 , version 1 (17-04-2024)

Shengjun Fan, Ying Hu, Shanjian Tang. Dual Representation of Unbounded Dynamic Concave Utilities ⋆. 2024. ⟨hal-04549531⟩

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