Representation of convex operators and their static and dynamic sandwich extensions

MaRDI QIDQ4597340zbMATH OpenFDO

Authors Jocelyne Bion-Nadal, Giulia Di Nunno

Publication date 12 December 2017

Full work available at URL https://arxiv.org/abs/1412.2030, http://www.heldermann.de/JCA/JCA24/JCA244/jca24079.htm#jca244

zbMATH Keywords

dual representationtime consistencydynamic risk measuresprice operatorconvex operatorsandwich preserving extension

Mathematics Subject Classification ID

Convex functions and convex programs in convex geometry (52A41) Stochastic models in economics (91B70) Ordered topological linear spaces, vector lattices (46A40) Applications of operator theory in probability theory and statistics (47N30)

Abstract: Monotone convex operators and time-consistent systems of operators appear naturally in stochastic optimization and mathematical finance in the context of pricing and risk measurement. We study the dual representation of a monotone convex emph{operator} when its domain is defined on a subspace of $L_p$, with $pin[1,infty]$, and we prove a sandwich preserving extension theorem. These results are then applied to study systems of such operators defined only on subspaces. We propose various dynamic sandwich preserving extension results depending on the nature of time: finite discrete, countable discrete, and continuous. Of particular notice is the fact that the extensions obtained are time-consistent.

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Cited in

(3)

• Price operators analysis in \(L_p\)-spaces
• scientific article; zbMATH DE number 4134811 (Why is no real title available?)
• Fully-dynamic risk-indifference pricing and no-good-deal bounds

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