Nonlinear expectations of random sets

DOI10.1007/S00780-020-00442-3zbMATH Open1461.91283arXiv1903.04901OpenAlexW3123109610MaRDI QIDQ2022754FDOQ2022754

Authors: Anja Mühlemann, Ilya S. Molchanov 

Publication date: 29 April 2021

Published in: Finance and Stochastics (Search for Journal in Brave)

Abstract: Sublinear functionals of random variables are known as sublinear expectations; they are convex homogeneous functionals on infinite-dimensional linear spaces. We extend this concept for set-valued functionals defined on measurable set-valued functions (which form a nonlinear space), equivalently, on random closed sets. This calls for a separate study of sublinear and superlinear expectations, since a change of sign does not convert one to the other in the set-valued setting. We identify the extremal expectations as those arising from the primal and dual representations of them. Several general construction methods for nonlinear expectations are presented and the corresponding duality representation results are obtained. On the application side, sublinear expectations are naturally related to depth trimming of multivariate samples, while superlinear ones can be used to assess utilities of multiasset portfolios.

Full work available at URL: https://arxiv.org/abs/1903.04901

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zbMATH Keywords

utilitytransaction costsset-valued functionrandom setsublinear expectationselection expectationmultiasset portfoliosuperlinear expectation

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16) Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20)

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Cited In (10)

• Convex bodies generated by sublinear expectations of random vectors
• On semiclassical state of a nonlinear Dirac equation
• Conditional nonlinear expectations
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• Set-valued risk measures as backward stochastic difference inclusions and equations
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