摘要翻译：
对于完全市场中的未定权益定价和套期保值通常采用一种风险中性的方法，而对于更一般的情形则采用另一种基于效用最大化或风险最小化的方法。在文献中可以找到各种特殊的风险度量。本文在考虑财富和投资组合过程的约束时，不使用市场修正风险测度，而直接使用由G_gamma-解或约束倒向随机微分方程(CBSDE)的极小解导出的风险测度。在适当的条件下，在适当的空间上定义了这样的G_\γ-解及其生成的风险测度。我们采用凸风险测度的INF卷积来解决一些优化问题。通过G_gamma解定义的动态版本风险测度和优化问题的一些类似结果可以在新的框架中得到。
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英文标题：
《Inf-convolution of g_\Gamma-solution and its applications》
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作者：
Yuanyuan Sui and Helin Wu
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最新提交年份：
2012
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分类信息：

一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
  A risk-neutral method is always used to price and hedge contingent claims in complete market, but another method based on utility maximization or risk minimization is wildly used in more general case. One can find all kinds of special risk measure in literature. In this paper, instead of using market modified risk measure, we use a kind of risk measure induced by g_\Gamma-solution or the minimal solution of a Constrained Backward Stochastic Differential Equation (CBSDE) directly when constraints on wealth and portfolio process comes to our consideration. Such g_\Gamma-solution and the risk measure generated by it is well defined on appropriate space under suitable conditions. We adopt the inf-convolution of convex risk measures to solve some optimization problem. A dynamic version risk measures defined through g_\Gamma-solution and some similar results about optimal problem can be got in our new framework and by our new approach.
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PDF链接：
https://arxiv.org/pdf/1103.1050