Conditional Analysis on $$\mathbb {R}^d$$

DOI10.1007/978-3-662-48670-2_6zbMath1338.49028arXiv1211.0747OpenAlexW3100257409MaRDI QIDQ2805757

Michael Kupper, Patrick Cheridito, Nicolas Vogelpoth

Publication date: 13 May 2016

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.0747

zbMATH Keywords

conditional optimizationrandom sets\(L^0\)-modules\(L^0\)-convex conjugation\(L^0\)-convexity\(L^0\)-differentiability\(L^0\)-subgradientsseparating \(L^0\)-hyperplanes

Mathematics Subject Classification ID

Nonsmooth analysis (49J52) Theorems of Hahn-Banach type; extension and lifting of functionals and operators (46A22) Other ``topological linear spaces (convergence spaces, ranked spaces, spaces with a metric taking values in an ordered structure more general than (mathbb{R}), etc.) (46A19) Other special types of modules and ideals in commutative rings (13C13)

Related Items (13)

Conditional Analysis and a Principal-Agent Problem ⋮ An uncountable ergodic Roth theorem and applications ⋮ An uncountable Furstenberg–Zimmer structure theory ⋮ Parameter-dependent stochastic optimal control in finite discrete time ⋮ Random sets and Choquet-type representations ⋮ Measures and integrals in conditional set theory ⋮ Risk arbitrage and hedging to acceptability under transaction costs ⋮ The algebra of conditional sets and the concepts of conditional topology and compactness ⋮ Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences ⋮ Булевозначный подход к анализу условного риска ⋮ Pathwise Dynamic Programming ⋮ Conditional cores and conditional convex hulls of random sets ⋮ L⁰-convex compactness and its applications to random convex optimization and random variational inequalities

Cites Work

• Unnamed Item
• Recent progress in random metric theory and its applications to conditional risk measures
• Relations between some basic results derived from two kinds of topologies for a random locally convex module
• Separation and duality in locally \(L^0\)-convex modules
• OPTIMAL CONSUMPTION AND INVESTMENT IN INCOMPLETE MARKETS WITH GENERAL CONSTRAINTS

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