Time Consistent Dynamic Risk Processes, Cadlag Modification

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dc.creatorBion-Nadal, Jocelyne
dc.date2006-07-08
dc.date.accessioned2026-07-07T12:11:17Z
dc.date.available2026-07-07T12:11:17Z
dc.descriptionWorking in a continuous time setting, we extend to the general case of dynamic risk measures continuous from above the characterization of time consistency in terms of ``cocycle condition'' of the minimal penalty function. We prove also the supermartingale property for general time consistent dynamic risk measures. When the time consistent dynamic risk measure (continuous from above) is normalized and non degenerate, we prove, under a mild condition, that the dynamic risk process of any financial instrument has a cadlag modification. This condition is always satisfied in case of continuity from below.
dc.description23 pages
dc.identifierhttps://arxiv.org/abs/math/0607212
dc.identifierhttp://arxiv.org/abs/math/0607212
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210177
dc.subjectProbability
dc.subjectRisk Management
dc.subject46A20; 91B30; 91B70
dc.titleTime Consistent Dynamic Risk Processes, Cadlag Modification
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