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Stochastic Analysis and Applications Volume 37, 2019 - Issue 3
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Dynamic risk measure for BSVIE with jumps and semimartingale issues

Nacira AgramDepartment of Mathematics, University of Oslo, Oslo, Norway; ;University of Biskra, Biskra, AlgeriaCorrespondence[email protected]
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Pages 361-376 | Received 20 May 2018, Accepted 23 Dec 2018, Published online: 05 Feb 2019

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Yanhong Chen & Liangliang Miao. (2023) Dynamic risk measures via backward doubly stochastic Volterra integral equations with jumps. Communications in Statistics - Theory and Methods 0:0, pages 1-25.
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Articles from other publishers (14)

Mahvish Samar, Kutorzi Yao & Xinzhong Zhu. (2023) Numerical Solution of Nonlinear Backward Stochastic Volterra Integral Equations. Axioms 12:9, pages 888.
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Liangliang Miao, Yanhong Chen, Xiao Xiao & Yijun Hu. (2023) Anticipated Backward Stochastic Volterra Integral Equations with Jumps and Applications to Dynamic Risk Measures. Acta Mathematica Scientia 43:3, pages 1365-1381.
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Yushi Hamaguchi & Dai Taguchi. (2023) Approximations for adapted M-solutions of type-II backward stochastic Volterra integral equations. ESAIM: Probability and Statistics 27, pages 19-79.
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Yushi Hamaguchi. (2023) Variation of constants formulae for forward and backward stochastic Volterra integral equations. Journal of Differential Equations 343, pages 332-389.
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Hanxiao Wang, Jiongmin Yong & Jianfeng Zhang. (2022) Path dependent Feynman–Kac formula for forward backward stochastic Volterra integral equations. Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 58:2.
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Nacira Agram, Saloua Labed, Bernt Øksendal & Samia Yakhlef. (2022) Singular Control of Stochastic Volterra Integral Equations. Acta Mathematica Scientia 42:3, pages 1003-1017.
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Anas Dheyab Khalaf, Almaz Tesfay & Xiangjun Wang. (2020) Impulsive Stochastic Volterra Integral Equations Driven by Lévy Noise. Bulletin of the Iranian Mathematical Society 47:6, pages 1661-1679.
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Liangliang Miao, Zhang Liu & Yijun Hu. (2021) Dynamic Risk Measures for Anticipated Backward Doubly Stochastic Volterra Integral Equations. Entropy 23:12, pages 1580.
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Nacira Agram & Boualem Djehiche. (2021) On a class of reflected backward stochastic Volterra integral equations and related time-inconsistent optimal stopping problems. Systems & Control Letters 155, pages 104989.
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Liangliang Miao, Zhang Liu & Yijun Hu. (2021) Dynamic Risk Measures for Processes via Backward Stochastic Differential Equations Associated with Lévy Processes. Entropy 23:6, pages 741.
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Hanxiao Wang. (2020) Extended backward stochastic Volterra integral equations, Quasilinear parabolic equations, and Feynman–Kac formula. Stochastics and Dynamics 21:01, pages 2150004.
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Patrick Beißner & Emanuela Rosazza Gianin. (2021) The term structure of sharpe ratios and arbitrage-free asset pricing in continuous time. Probability, Uncertainty and Quantitative Risk 6:1, pages 23.
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Camilo Hernández & Dylan Possamaï. (2021) A unified approach to well-posedness of type-I backward stochastic Volterra integral equations. Electronic Journal of Probability 26:none.
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Yushi Hamaguchi. (2021) Infinite horizon backward stochastic Volterra integral equations and discounted control problems. ESAIM: Control, Optimisation and Calculus of Variations 27, pages 101.
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