IDEAS home Printed from
   My bibliography  Save this paper

Inf-convolution of g_\Gamma-solution and its applications


  • Yuanyuan Sui
  • Helin Wu


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.

Suggested Citation

  • Yuanyuan Sui & Helin Wu, 2011. "Inf-convolution of g_\Gamma-solution and its applications," Papers 1103.1050,, revised May 2012.
  • Handle: RePEc:arx:papers:1103.1050

    Download full text from publisher

    File URL:
    File Function: Latest version
    Download Restriction: no

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1103.1050. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.