Recent progress in random metric theory and its applications to conditional risk measures
From MaRDI portal
Publication:547405
DOI10.1007/s11425-011-4189-6zbMath1238.46058arXiv1006.0697OpenAlexW2037787216MaRDI QIDQ547405
Publication date: 1 July 2011
Published in: Science China. Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1006.0697
random normed modulerandom conjugate spacerandom locally convex module\(L^{0}\)-convex analysisconditional risk measuresrandom inner product module
Stochastic models in economics (91B70) Utility theory (91B16) Theorems of Hahn-Banach type; extension and lifting of functionals and operators (46A22) Convex functions and convex programs in convex geometry (52A41) Normed modules and Banach modules, topological modules (if not placed in 13-XX or 16-XX) (46H25) Random nonlinear operators (47H40) Functional analysis in probabilistic metric linear spaces (46S50) Reflexivity and semi-reflexivity (46A25)
Related Items
On the random conjugate spaces of a random locally convex module ⋮ The embedding theorem of an \(L^0\)-prebarreled module into its random biconjugate space ⋮ Optimal portfolio selection via conditional convex risk measures on \(L ^{p }\) ⋮ A characterization for a complete random normed module to be mean ergodic ⋮ Daneš theorem in complete random normed modules ⋮ On conditional mean ergodic semigroups of random linear operators ⋮ The metric-valued Lebesgue differentiation theorem in measure spaces and its applications ⋮ Some results on random smoothness ⋮ Unnamed Item ⋮ The Bishop-Phelps theorem in complete random normed modules endowed with the (\(\varepsilon, \lambda\))-topology ⋮ Various expressions for modulus of random convexity ⋮ Risk-hedging a European option with a convex risk measure and without no-arbitrage condition ⋮ An exponential representation for random C0–semigroups ⋮ Projective and injective tensor products of Banach \(L^0\)-modules ⋮ On the reflexivity properties of Banach bundles and Banach modules ⋮ On mean ergodic semigroups of random linear operators ⋮ Von Neumann's mean ergodic theorem on complete random inner product modules ⋮ A minimax theorem for \(\overline{L}^0\)-valued functions on random normed modules ⋮ On some basic theorems of continuous module homomorphisms between random normed modules ⋮ \(L^0\)-linear modulus of a random linear operator ⋮ The relations among the three kinds of conditional risk measures ⋮ THE RANDOM SUBREFLEXIVITY OF COMPLETE RANDOM NORMED MODULES ⋮ Ekeland's variational principle for an \(\overline{L}^0\)-valued function on a complete random metric space ⋮ Farkas' lemma in random locally convex modules and Minkowski-Weyl type results in \(L^0(\mathcal F,R^n)\) ⋮ On almost surely bounded semigroups of random linear operators ⋮ Random spectral theorems of self-adjoint random linear operators on complete complex random inner product modules ⋮ The algebraic structure of finitely generated \(L^0(\mathcal F, K)\)-modules and the Helly theorem in random normed modules ⋮ Conditional Analysis on $$\mathbb {R}^d$$ ⋮ On non-\(L^0\)-linear perturbations of random isometries in random normed modules ⋮ Clarke's fixed point theorem on a complete random normed module
Cites Work
- The James theorem in complete random normed modules
- Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
- Dual characterization of properties of risk measures on Orlicz hearts
- Dynamic monetary risk measures for bounded discrete-time processes
- The representations of two types of functionals on \(L^\infty(\Omega,\mathcal F)\) and \(L^\infty(\Omega,\mathcal F,\mathbb P)\)
- Relations between some basic results derived from two kinds of topologies for a random locally convex module
- Random strict convexity and random uniform convexity in random normed modules
- Several applications of the theory of random conjugate spaces to measurability problems
- Separation and duality in locally \(L^0\)-convex modules
- A basic strict separation theorem in random locally convex modules
- An overview of representation theorems for static risk measures
- Random duality
- A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
- A duality theorem for a convex programming problem in order complete vector lattices
- A note on pointwise best approximation
- Pointwise best approximation in the space of strongly measurable functions with applications to best approximation in \(L^ p(\mu,X)\)
- Radon-Nikodým property of conjugate Banach spaces and \(w^*\)-equivalence theorems of \(w^*-\mu\)-measurable functions
- Convex measures of risk and trading constraints
- A characterization of continuous module homomorphisms on random semi-normed modules and its applications
- Representation theorems of the dual of Lebesgue-Bochner function spaces
- Extension theorems of continuous random linear operators on random domains
- Coherent multiperiod risk adjusted values and Bellman's principle
- Conditional and dynamic convex risk measures
- Risk measures via \(g\)-expectations
- The relation of Banach--Alaoglu theorem and Banach--Bourbaki--Kakutani--Šmulian theorem in complete random normed modules to stratification structure
- Coherent Measures of Risk
- Convex risk measures and the dynamics of their penalty functions
- Approaches to Conditional Risk
- THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L1
- Coherent risk measures
- Stochastic finance. An introduction in discrete time
- A characterization for an \(L(\mu,K)\)-topological module to admit enough canonical module homomorphisms
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
