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Representation of the penalty term of dynamic concave utilities |
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| Authors: | Freddy Delbaen Shige Peng Emanuela Rosazza Gianin |
| Institution: | 1. Department of Mathematics, ETH, Zürich, Switzerland 2. Institute of Mathematics, Shandong University, Jinan, China 3. Dipartimento di Metodi Quantitativi per le Scienze Economiche ed Aziendali, Università di Milano-Bicocca, Building U7, 4th floor, Via Bicocca degli Arcimboldi 8, 20126, Milan, Italy |
| Abstract: | In the context of a Brownian filtration and with a fixed finite time horizon, we provide a representation of the penalty term of general dynamic concave utilities (hence of dynamic convex risk measures) by applying the theory of g-expectations. |
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