{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2017:BWRPRZ42WVYOU4P42ZSQ5FJZFI","merge_version":"pith-open-graph-merge-v1","event_count":2,"valid_event_count":2,"invalid_event_count":0,"equivocation_count":0,"current":{"canonical_record":{"metadata":{"abstract_canon_sha256":"896e0f979041b65239d071108584940854b631ded405ab392f159fc975add446","cross_cats_sorted":["q-fin.MF"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"math.OC","submitted_at":"2017-01-22T23:11:11Z","title_canon_sha256":"44933435fe20af0050a669018b9943b9ac5d8599ce7bdbda085a2eaf8921c221"},"schema_version":"1.0","source":{"id":"1701.06234","kind":"arxiv","version":4}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1701.06234","created_at":"2026-07-05T01:28:39Z"},{"alias_kind":"arxiv_version","alias_value":"1701.06234v4","created_at":"2026-07-05T01:28:39Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1701.06234","created_at":"2026-07-05T01:28:39Z"},{"alias_kind":"pith_short_12","alias_value":"BWRPRZ42WVYO","created_at":"2026-07-05T01:28:39Z"},{"alias_kind":"pith_short_16","alias_value":"BWRPRZ42WVYOU4P4","created_at":"2026-07-05T01:28:39Z"},{"alias_kind":"pith_short_8","alias_value":"BWRPRZ42","created_at":"2026-07-05T01:28:39Z"}],"graph_snapshots":[{"event_id":"sha256:5c9ccf8c07ae41667b0a5d06012bbe6b24d3bdbfe33b10b85a793b51f7e3753a","target":"graph","created_at":"2026-07-05T01:28:39Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"graph_snapshot":{"author_claims":{"count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","strong_count":0},"builder_version":"pith-number-builder-2026-05-17-v1","claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"integrity":{"available":true,"clean":true,"detectors_run":[],"endpoint":"/pith/1701.06234/integrity.json","findings":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938","summary":{"advisory":0,"by_detector":{},"critical":0,"informational":0}},"paper":{"abstract_excerpt":"We propose a numerical recipe for risk evaluation defined by a backward stochastic differential equation. Using dual representation of the risk measure, we convert the risk valuation to a stochastic control problem where the control is a certain Radon-Nikodym derivative process. By exploring the maximum principle, we show that a piecewise-constant dual control provides a good approximation on a short interval. A dynamic programming algorithm extends the approximation to a finite time horizon. Finally, we illustrate the application of the procedure to financial risk management in conjunction wi","authors_text":"Andrzej Ruszczynski, Jianing Yao","cross_cats":["q-fin.MF"],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"math.OC","submitted_at":"2017-01-22T23:11:11Z","title":"A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1701.06234","kind":"arxiv","version":4},"verdict":{"created_at":null,"id":null,"model_set":{},"one_line_summary":"","pipeline_version":null,"pith_extraction_headline":"","strongest_claim":"","weakest_assumption":""}},"verdict_id":null}}],"author_attestations":[],"timestamp_anchors":[],"storage_attestations":[],"citation_signatures":[],"replication_records":[],"corrections":[],"mirror_hints":[],"record_created":{"event_id":"sha256:1dd9ee7d6e01e301b9745004a03ebc935d5ee3249ae331fe4154d1efbfc522c6","target":"record","created_at":"2026-07-05T01:28:39Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"attestation_state":"computed","canonical_record":{"metadata":{"abstract_canon_sha256":"896e0f979041b65239d071108584940854b631ded405ab392f159fc975add446","cross_cats_sorted":["q-fin.MF"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"math.OC","submitted_at":"2017-01-22T23:11:11Z","title_canon_sha256":"44933435fe20af0050a669018b9943b9ac5d8599ce7bdbda085a2eaf8921c221"},"schema_version":"1.0","source":{"id":"1701.06234","kind":"arxiv","version":4}},"canonical_sha256":"0da2f8e79ab570ea71fcd6650e95392a05f57689ea7d75311685a3794587d6ec","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"0da2f8e79ab570ea71fcd6650e95392a05f57689ea7d75311685a3794587d6ec","first_computed_at":"2026-07-05T01:28:39.848978Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-07-05T01:28:39.848978Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"knKtHEM0+wrcc0Fwn1697IRHD+Cl4i85odBLT99BanLa5V8gEfFu8oe8ycLiV7hlMhlP/wnrjN0N7GH6zIHeDA==","signature_status":"signed_v1","signed_at":"2026-07-05T01:28:39.849411Z","signed_message":"canonical_sha256_bytes"},"source_id":"1701.06234","source_kind":"arxiv","source_version":4}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:1dd9ee7d6e01e301b9745004a03ebc935d5ee3249ae331fe4154d1efbfc522c6","sha256:5c9ccf8c07ae41667b0a5d06012bbe6b24d3bdbfe33b10b85a793b51f7e3753a"],"state_sha256":"1db75992586f8aeb2b6c75e4400cf7c6e911ff77cc0c04aa16351de420cb35d6"}