An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior

Wing Fung Chong, Ying Hu, Gechun Liang, Thaleia Zariphopoulou. An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior. Finance and Stochastics, 23(1):239-273, 2019. [doi]

Abstract

Abstract is missing.