The relations among the three kinds of conditional risk measures

DOI10.1007/S11425-014-4840-0zbMATH Open1316.46004OpenAlexW1973114228MaRDI QIDQ477159FDOQ477159

Shien Zhao, Xiao Lin Zeng, Tiexin Guo

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

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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)

Cites Work

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• Recent progress in random metric theory and its applications to conditional risk measures
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• Stochastic finance. An introduction in discrete time
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• Approaches to Conditional Risk
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Cited In (15)

• The relations among the notions of various kinds of stability and their applications
• Title not available (Why is that?)
• Clarke's fixed point theorem on a complete random normed module
• 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
• L⁰-convex compactness and its applications to random convex optimization and random variational inequalities
• Exponentially bounded \(C\)-semigroup and the Cauchy initial value problems in 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
• Randomized versions of Mazur lemma and Krein-Smulian theorem
• Two fixed point theorems in complete random normed modules and their applications to backward stochastic equations
• A characterization for a complete random normed module to be mean ergodic
• Some results on random smoothness
• The fundamental theorem of affine geometry in regular \(L^0\)-modules

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