Continuous Time
In continuous time, a time consistent coherent risk measure can be given by:
for a sublinear choice of function where denotes a g-expectation. If the function is convex, then the corresponding risk measure is convex.
Read more about this topic: Time Consistency
Famous quotes containing the words continuous and/or time:
“I read the newspapers avidly. It is my one form of continuous fiction.”
—Aneurin Bevan (1897–1960)
“What are days for?
Days are where we live.
They come, they wake us
Time and time over.
They are to be happy in:
Where can we live but days?”
—Philip Larkin (1922–1986)