References
- Artzner , P , Delbaen , F , Eber , J-M and Heath , D . 1999 . Coherent measures of risk . Mathematical Finance , 9 : 203 – 228 .
- Briand , P , Delyon , B , Hu , Y , Pardoux , E and Stoica , L . 2003 . L p solutions of backward stochastic differential equations . Stochastic Processes and their Applications , 108 : 109 – 129 .
- Duffie , D and Huang , CF . 1986 . “ Stochastic production-exchange equilibria ” . In Research paper No. 974 Graduate School of Business, Stanford University
- El Karoui , N , Peng , S and Quenez , MC . 1997 . Backward stochastic differential equations in finance . Mathematical Finance , 7 : 7 – 71 .
- Föllmer , H and Schied , A . 2002 . Convex measures of risk and trading constraints . Finance and Stochastics , 6 : 429 – 447 .
- Lazrak , A and Quenez , MC . 2003 . A generalized stochastic utility . Mathematics of Operations Research , 28 : 154 – 180 .
- Lin , J . 2002 . Adapted solution of a backward stochastic nonlinear Volterra integral equation . Stochastic Analysis and Applications , 20 : 165 – 183 .
- Ma , J and Yong , J . 1999 . Forward-Backward Stochastic Differential Equations and their Applications , Berlin : Springer-Verlag .
- Pardoux , E and Peng , S . 1990 . Adapted solutions of backward stochastic equations . Systems and Control Letters , 14 : 55 – 61 .
- Peng , S . 2004 . “ Nonlinear expectations, nonlinear evaluations and risk measures ” . In Stochastic Methods in Finance, Lecture Notes in Mathematics Vol. 1856, Springer , 165 – 253 .
- Riedel , F . 2004 . Dynamic coherent risk measures . Stochastic Processes and their Applications , 112 : 185 – 200 .
- Yong , J . 2006 . Backward stochastic Volterra integral equations and some related problems . Stochastic Processes and their Applications , 116 : 779 – 795 .
- Yong J., 2007, Well-posedness and regularity of backward stochastic Volterra integral equations, (to appear)