Abstract
We consider the continuous limit of iterated Conditional Tail Expectation for a Brownian filtration and show the existence of the limit for some special random variables.
Received: June 18, 2009
Revised: October 21, 2009
JEL classification: C65, G19
Mathematics Subject Classification (2000): 60B05
Research supported by the 21st century COE project, Graduate School of Mathematical Sciences, The University of Tokyo.
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Kusuoka, S. (2010). A certain limit of iterated conditional tail expectation. In: Kusuoka, S., Maruyama, T. (eds) Advances in Mathematical Economics. Advances in Mathematical Economics, vol 13. Springer, Tokyo. https://doi.org/10.1007/978-4-431-99490-9_4
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DOI: https://doi.org/10.1007/978-4-431-99490-9_4
Publisher Name: Springer, Tokyo
Print ISBN: 978-4-431-99489-3
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