An S-related DCV generated by a convex function in a jump market
An S-related DCV generated by a convex function in a jump market
Vorschaubild nicht verfügbar
Dateien
Zu diesem Dokument gibt es keine Dateien.
Datum
2010
Autor:innen
Xiong, Dewen
Herausgeber:innen
ISSN der Zeitschrift
eISSN
item.preview.dc.identifier.isbn
Bibliografische Daten
Verlag
Schriftenreihe
URI (zitierfähiger Link)
DOI (zitierfähiger Link)
Internationale Patentnummer
Link zur Lizenz
EU-Projektnummer
Projekt
Open Access-Veröffentlichung
Sammlungen
Titel in einer weiteren Sprache
Publikationstyp
Zeitschriftenartikel
Publikationsstatus
Erschienen in
Stochastic analysis and applications ; 28 (2010), 2. - S. 202-225
Zusammenfassung
We consider an incomplete market with general jumps, in which the discounted price process S of a risky asset is a given bounded semimartingale. We continue our work on the S-related dynamic convex valuation (DCV) initiated in Xiong and Kohlmann [23] by considering here an S-related DCV Cĝ whose dynamic penalty functional αĝ is generated by a convex function ĝ. So the penalty Junctional takes the following form is the density process of an equivalent martingale measure (EMM) Q for S with respect to the fundamental EMM Q0. For a given ∈ L∞ (FT), we prove that (Cĝ(ξ) is the first component of the minimal bounded solution of a backward semimartingale equation (BSE) generated by a convex, possibly non-Lipschitz g. If this BSE has a bounded solution (Y, θ1, θ2, L) such that θ2 is also bounded and 〈L〉T ∈ L∞ (FT), we prove that Cĝt(ξ) = Yt, Q0-a.s., for all t ∈ [0, T]. Finally, we introduce the concept of a bounded Cĝ-(super-)martingale and derive a decomposition for a Cĝ-supermartingale.
Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
510 Mathematik
Schlagwörter
Backward semimartingale equation (BSE),Dynamic convex risk measure,Dynamic convex valuation (DCV),Time-consistent property
Konferenz
Rezension
undefined / . - undefined, undefined. - (undefined; undefined)
Zitieren
ISO 690
XIONG, Dewen, Michael KOHLMANN, 2010. An S-related DCV generated by a convex function in a jump market. In: Stochastic analysis and applications. 28(2), pp. 202-225. Available under: doi: 10.1080/07362990903546389BibTex
@article{Xiong2010Srela-835, year={2010}, doi={10.1080/07362990903546389}, title={An S-related DCV generated by a convex function in a jump market}, number={2}, volume={28}, journal={Stochastic analysis and applications}, pages={202--225}, author={Xiong, Dewen and Kohlmann, Michael} }
RDF
<rdf:RDF xmlns:dcterms="http://purl.org/dc/terms/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#" xmlns:foaf="http://xmlns.com/foaf/0.1/" xmlns:void="http://rdfs.org/ns/void#" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/835"> <dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:49:03Z</dc:date> <dcterms:bibliographicCitation>Publ. in: Stochastic analysis and applications 28 (2010), 2, pp. 202-225</dcterms:bibliographicCitation> <dc:language>eng</dc:language> <dc:creator>Xiong, Dewen</dc:creator> <dcterms:abstract xml:lang="eng">We consider an incomplete market with general jumps, in which the discounted price process S of a risky asset is a given bounded semimartingale. We continue our work on the S-related dynamic convex valuation (DCV) initiated in Xiong and Kohlmann [23] by considering here an S-related DCV Cĝ whose dynamic penalty functional αĝ is generated by a convex function ĝ. So the penalty Junctional takes the following form is the density process of an equivalent martingale measure (EMM) Q for S with respect to the fundamental EMM Q0. For a given ∈ L∞ (FT), we prove that (Cĝ(ξ) is the first component of the minimal bounded solution of a backward semimartingale equation (BSE) generated by a convex, possibly non-Lipschitz g. If this BSE has a bounded solution (Y, θ1, θ2, L) such that θ2 is also bounded and 〈L〉T ∈ L∞ (FT), we prove that Cĝt(ξ) = Yt, Q0-a.s., for all t ∈ [0, T]. Finally, we introduce the concept of a bounded Cĝ-(super-)martingale and derive a decomposition for a Cĝ-supermartingale.</dcterms:abstract> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dcterms:issued>2010</dcterms:issued> <dc:contributor>Kohlmann, Michael</dc:contributor> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/835"/> <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/> <dcterms:title>An S-related DCV generated by a convex function in a jump market</dcterms:title> <dc:contributor>Xiong, Dewen</dc:contributor> <foaf:homepage rdf:resource="http://localhost:8080/"/> <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:49:03Z</dcterms:available> <dc:rights>terms-of-use</dc:rights> <dc:creator>Kohlmann, Michael</dc:creator> </rdf:Description> </rdf:RDF>
Interner Vermerk
xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter
Prüfungsdatum der Dissertation
Finanzierungsart
Kommentar zur Publikation
Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Ja