Representation of increasing convex functionals with countably additive measures
DOI10.4064/sm181107-16-2zbMath1492.46072arXiv1502.05763OpenAlexW3186187223MaRDI QIDQ3381901
Patrick Cheridito, Michael Kupper, Ludovic Tangpi
Publication date: 20 September 2021
Published in: Studia Mathematica (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1502.05763
Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Monotone and positive operators on ordered Banach spaces or other ordered topological vector spaces (47H07) Lattices of continuous, differentiable or analytic functions (46E05) Set functions and measures on topological spaces (regularity of measures, etc.) (28C15) Integration theory via linear functionals (Radon measures, Daniell integrals, etc.), representing set functions and measures (28C05)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Stochastic finance. An introduction in discrete time.
- Uncertainty averse preferences
- The fundamental theorem of asset pricing for unbounded stochastic processes
- A general version of the fundamental theorem of asset pricing
- Convex measures of risk and trading constraints
- Robust expected utility maximization with medial limits
- Robust representation of convex risk measures by probability measures
- Martingale optimal transport duality
- RISK MEASURES ON ORLICZ HEARTS
- Duality Formulas for Robust Pricing and Hedging in Discrete Time
- Automatic Continuity and Openness of Convex Relations
- Computational aspects of robust optimized certainty equivalents and option pricing
- Risk Preferences and Their Robust Representation
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Optimization of Convex Risk Functions
This page was built for publication: Representation of increasing convex functionals with countably additive measures