We consider the representation of forward entropic risk measures using the theory of ergodic backward stochastic differential equations in a jump-diffusion framework. Our paper can be viewed as an extension of the work considered by Chong et al. (2019) in the diffusion case. We also study the behavior of a forward entropic risk measure under jumps when a financial position is held for a longer maturity.

中文翻译：

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跳跃扩散框架中的遍历 BSDE 风险表示

我们使用跳跃扩散框架中的遍历后向随机微分方程理论来考虑前向熵风险度量的表示。我们的论文可以看作是 Chong 所考虑的工作的延伸等。（2019）在扩散案例中。我们还研究了当金融头寸持有较长期限时，前向熵风险度量在跳跃下的行为。