Dynamic Risk Measures and Path-Dependent Second Order PDEs.

Authors Publication date
2015
Publication type
Book Chapter
Summary We propose new notions of regular solutions and viscosity solutions for path-dependent second order partial differential equations. Making use of the martingale problem approach to path-dependent diffusion processes, we explicitly construct families of time-consistent dynamic risk measures on the set of cadlag paths IRn valued endowed with the Skorokhod topology. These risk measures are shown to have regularity properties. We prove then that these time-consistent dynamic risk measures provide viscosity supersolutions and viscosity subsolutions for path-dependent semi-linear second order partial differential equations.
Publisher
Springer International Publishing
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