Recent progress in random metric theory and its applications to conditional risk measures

DOI10.1007/S11425-011-4189-6zbMATH Open1238.46058arXiv1006.0697OpenAlexW2037787216MaRDI QIDQ547405FDOQ547405

Authors: Tiexin Guo 

Publication date: 1 July 2011

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

Abstract: The purpose of this paper is to give a selective survey on recent progress in random metric theory and its applications to conditional risk measures. This paper includes eight sections. Section 1 is a longer introduction, which gives a brief introduction to random metric theory, risk measures and conditional risk measures. Section 2 gives the central framework in random metric theory, topological structures, important examples, the notions of a random conjugate space and the Hahn-Banach theorems for random linear functionals. Section 3 gives several important representation theorems for random conjugate spaces. Section 4 gives characterizations for a complete random normed module to be random reflexive. Section 5 gives hyperplane separation theorems currently available in random locally convex modules. Section 6 gives the theory of random duality with respect to the locally $L^0-$convex topology and in particular a characterization for a locally $L^0-$convex module to be $L^0-$pre$-$barreled. Section 7 gives some basic results on $L^0-$convex analysis together with some applications to conditional risk measures. Finally, Section 8 is devoted to extensions of conditional convex risk measures, which shows that every representable $L^{infty}-$type of conditional convex risk measure and every continuous $L^p-$type of convex conditional risk measure ($1leqp<+infty$) can be extended to an $L_{calF}^{infty}(calE)-$type of $sigm{a}_{epsilon,lambda}(L_{calF}^{infty}(calE),L_{calF}^1(calE))-$lower semicontinuous conditional convex risk measure and an $L_{calF}^p(calE)-$type of ${calT}_{epsilon,lambda}-$continuous conditional convex risk measure ($1leqp<+infty$), respectively.

Full work available at URL: https://arxiv.org/abs/1006.0697

Recommendations

• Random convex analysis. I: Separation and Fenchel-Moreau duality in random locally convex modules
• Random convex analysis (II): Continuity and subdifferentiability theorems in &lt;italic&gt;L&lt;/italic&gt;&lt;sup&gt;0&lt;/sup&gt;-pre-barreled random locally convex modules
• Survey of recent developments of random metric theory and its applications in China. II
• Approaches to conditional risk
• Random metric theory and its applications

zbMATH Keywords

random normed modulerandom conjugate spacerandom locally convex module\(L^{0}\)-convex analysisconditional risk measuresrandom inner product module

Mathematics Subject Classification ID

Utility theory (91B16) Convex functions and convex programs in convex geometry (52A41) 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) Random nonlinear operators (47H40) Reflexivity and semi-reflexivity (46A25) Functional analysis in probabilistic metric linear spaces (46S50)

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Cited In (36)

• \(L^0\)-linear modulus of a random linear operator
• On non-\(L^0\)-linear perturbations of random isometries in random normed modules
• Clarke's fixed point theorem on a complete random normed module
• The Bishop-Phelps theorem in complete random normed modules endowed with the (\(\varepsilon, \lambda\))-topology
• On mean ergodic semigroups of random linear operators
• The relations among the three kinds of conditional risk measures
• Farkas' lemma in random locally convex modules and Minkowski-Weyl type results in \(L^0(\mathcal F,R^n)\)
• On the random conjugate spaces of a random locally convex module
• The algebraic structure of finitely generated \(L^0(\mathcal F, K)\)-modules and the Helly theorem in random normed modules
• Ekeland's variational principle for an \(\overline{L}^0\)-valued function on a complete random metric space
• The metric-valued Lebesgue differentiation theorem in measure spaces and its applications
• Risk-hedging a European option with a convex risk measure and without no-arbitrage condition
• The random subreflexivity of complete random normed modules
• Conditional cores and conditional convex hulls of random sets
• On semigroups of continuous module homomorphisms on complete random normed modules
• On the reflexivity properties of Banach bundles and Banach modules
• Projective and injective tensor products of Banach \(L^0\)-modules
• Daneš theorem in complete random normed modules
• A minimax theorem for \(\overline{L}^0\)-valued functions on random normed modules
• \(L_p\)-metric under the location-independent risk ordering of random variables
• The embedding theorem of an \(L^0\)-prebarreled module into its random biconjugate space
• Optimal portfolio selection via conditional convex risk measures on \(L ^{p }\)
• Survey of recent developments of random metric theory and its applications in China. II
• A characterization for a complete random normed module to be mean ergodic
• Some results on random smoothness
• Random convex analysis. I: Separation and Fenchel-Moreau duality in random locally convex modules
• Various expressions for modulus of random convexity
• On conditional mean ergodic semigroups of random linear operators
• The fixed point theorems and invariant approximations for random nonexpansive mappings in random normed modules
• On almost surely bounded semigroups of random linear operators
• Von Neumann's mean ergodic theorem on complete random inner product modules
• Conditional analysis on \(\mathbb R^d\)
• An exponential representation for random C₀–semigroups
• Lattice modules over rings of bounded random variables
• Random spectral theorems of self-adjoint random linear operators on complete complex random inner product modules
• On some basic theorems of continuous module homomorphisms between random normed modules

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