In this paper, monetary risk measures that are positively superhomogeneous, called star-
shaped risk measures, are characterized and their properties are studied. The measures in …

The aim of this work is to study risk measures generated by distortion functions in a dynamic
discrete time setup and to investigate the corresponding dynamic coherent acceptability …

Classical option pricing theories are usually built on the law of one price, neglecting the
impact of market liquidity that may contribute to significant bid-ask spreads. Within the …

By a novel approach, we present in this paper for the first time, some explicit criteria for the
exponential stability in mean square of solutions of general stochastic difference systems …

Abstract Fully coupled McKean–Vlasov forward-backward stochastic differential equations
(MV-FBSDEs) arise naturally from large population optimization problems. Judging the …

In this work we give a comprehensive overview of the time consistency property of dynamic
risk and performance measures, focusing on a the discrete time setup. The two key …

In this paper, we study the maximum principle for stochastic optimal control problems of
forward–backward stochastic difference systems (FBSΔSs). Two types of FBSΔSs are …

This article deals with the discrete-time stochastic optimal control problems with recursive
utilities under weakened convexity assumption. A new stochastic maximum principle is …

In this paper, we provide a flexible framework allowing for a unified study of time consistency
of risk measures and performance measures (also known as acceptability indices). The …

In this paper, we consider the optimal control problem for fully coupled forward–backward
stochastic difference equations of mean-field type under weak convexity assumption. By …