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"Time-Coherent Risk Measures for Continuous-Time Markov Chains."

Darinka Dentcheva, Andrzej Ruszczynski (2018)

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DOI: 10.1137/16M1063794

access: closed

type: Journal Article

metadata version: 2020-06-16

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Darinka Dentcheva, Andrzej Ruszczynski:
Time-Coherent Risk Measures for Continuous-Time Markov Chains. SIAM J. Financial Math. 9(2): 690-715 (2018)

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