@article{Xiong2009Dynam-783,
  year={2009},
  doi={10.1080/07362990902844504},
  title={The Dynamic Convex Valuation Related to the Price Process in a Market with General Jumps},
  number={3},
  volume={27},
  journal={Stochastic Analysis and Applications},
  pages={604--636},
  author={Xiong, Dewen and Kohlmann, Michael}
}

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    <dc:creator>Kohlmann, Michael</dc:creator>
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    <dcterms:abstract xml:lang="eng">We consider an incomplete market with general jumps in the given price process S of a risky asset. We define the S-related dynamic convex valuation (S-related DCV) which is time-consistent. We discuss the representation for a given S-related DCV C in terms of a 'penalty functional' alpha and give some characteristics of alpha, which are the sufficient conditions for a given C to be an S-related DCV. Finally, we give two special forms of alpha satisfying those conditions to describe the dynamics of the corresponding S-related DCV by a backward semimartingale equation.</dcterms:abstract>
    <dcterms:issued>2009</dcterms:issued>
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    <dcterms:bibliographicCitation>Publ. in: Stochastic Analysis and Applications 27 (2009), 3, pp. 604-636</dcterms:bibliographicCitation>
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    <dc:contributor>Xiong, Dewen</dc:contributor>
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    <dc:contributor>Kohlmann, Michael</dc:contributor>
    <dc:creator>Xiong, Dewen</dc:creator>
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