Homogeneous Law Invariant Coherent Multiperiod Value Measures and their Limits

J. Math. Sci. Univ. Tokyo
Vol. 14 (2007), No. 2, Page 117--156.

KUSUOKA, Shigeo ;MORIMOTO, Yuji
Homogeneous Law Invariant Coherent Multiperiod Value Measures and their Limits
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Abstract:
The authors introduce a new notion, homogeneous law invariant coherent multiperiod value measures, and give some basic properties. Also, they give certain limit theorems on these value measures in two models, Brownian-Poisson filtration and collective risk.

Keywords: Galois group, fundamental group, torsor of paths, $\ell$-adic polylogarithms, Lie algebra, Lie algebra of derivations

Mathematics Subject Classification (2000): 60B05, 60G99, 91B28, 91B30
Mathematical Reviews Number: MR2351364

Received: 2004-11-25