On Banach spaces of vector-valued random variables and their duals motivated by risk measures (Q1790410)
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On Banach spaces of vector-valued random variables and their duals motivated by risk measures (English)
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2 October 2018
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Motivated by applications to mathematical finance, the authors introduce certain Banach spaces of vector-valued random variables, prove their key properties and give representations of their dual spaces in terms of vector measures with values in the dual space of the state space. Then they define risk functionals on such Banach spaces, and prove their Lipschitz continuity.
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vector-valued random variables
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Banach spaces of random variables
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rearrangement invariant spaces
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dual representation
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risk measures
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0.8067246675491333
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0.7784866094589233
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0.7738150358200073
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0.7738150358200073
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