The relations among the three kinds of conditional risk measures

DOI10.1007/S11425-014-4840-0MaRDI QIDQ477159zbMATH OpenOpenAlexFDO

Authors Shien Zhao, Tiexin Guo, Xiao Lin Zeng

Publication date 2 December 2014

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11425-014-4840-0

zbMATH Keywords

extensionrandom normed module\(L^{\infty}({\mathcal E})\)-conditional risk measure\(L^{p}_{{\mathcal F}}({\mathcal E})\)-conditional risk measure\(L^{p}({\mathcal E})\)-conditional risk measure (\(1\leq p< +\infty\))countable concatenation property

Mathematics Subject Classification ID

Utility theory (91B16) Stochastic models in economics (91B70) Theorems of Hahn-Banach type; extension and lifting of functionals and operators (46A22) Normed modules and Banach modules, topological modules (if not placed in 13-XX or 16-XX) (46H25) Reflexivity and semi-reflexivity (46A25)

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• Approaches to conditional risk
• Coherent measures of risk
• Conditional and dynamic convex risk measures
• Extension theorems of continuous random linear operators on random domains
• Random duality
• 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
• Representation of the penalty term of dynamic concave utilities
• Separation and duality in locally \(L^0\)-convex modules
• Stochastic finance. An introduction in discrete time
• The James theorem in complete random normed modules

Cited in

(17)

• Clarke's fixed point theorem on a complete random normed module
• Randomized versions of Mazur lemma and Krein-Šmulian theorem
• The relations among the notions of various kinds of stability and their applications
• Stability in locally \(L^{0}\)-convex modules and a conditional version of James' compactness theorem
• Semigroups of continuous module homomorphisms on complex complete random normed modules
• Exponentially bounded \(C\)-semigroup and the Cauchy initial value problems in complete random normed modules
• On semigroups of continuous module homomorphisms on complete random normed modules
• The random Markov-Kakutani fixed point theorem in a random locally convex module
• \(L^0\)-convex compactness and random normal structure in \(L^0(\mathcal{F}, B)\)
• On \(L^0\)-convex compactness in random locally convex modules
• Real-valued conditional convex risk measures in \(L^p (\mathcal F, \mathbb R)\)
• \(L^0\)-convex compactness and its applications to random convex optimization and random variational inequalities
• Two fixed point theorems in complete random normed modules and their applications to backward stochastic equations
• Some results on random smoothness
• A characterization for a complete random normed module to be mean ergodic
• Approaches to conditional risk
• The fundamental theorem of affine geometry in regular \(L^0\)-modules

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