Backward stochastic difference equations for dynamic convex risk measures on a binomial tree

Robert J. Elliott, Tak Kuen Siu, Samuel N. Cohen. Backward stochastic difference equations for dynamic convex risk measures on a binomial tree. J. Applied Probability, 52(3):771-785, 2015. [doi]

Authors

Robert J. Elliott

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Tak Kuen Siu

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Samuel N. Cohen

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