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An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
Chong, Wing Fung, Hu, Ying, Liang, Gechun, Zariphopoulou, ThaleiaVolume:
23
Language:
english
Journal:
Finance and Stochastics
DOI:
10.1007/s00780-018-0377-3
Date:
January, 2019
File:
PDF, 1.58 MB
english, 2019