Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives

DOI10.1137/21M1418794MaRDI QIDQ5872882zbMATH OpenFDO

Authors Felix-Benedikt Liebrich, Max Nendel

Publication date 4 January 2023

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2009.09007

zbMATH Keywords

model uncertaintycapacityOrlicz spacenonlinear expectationDedekind completeness\(G\)-framework

Mathematics Subject Classification ID

Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Contents, measures, outer measures, capacities (28A12) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Recommendations

• Lebesgue property for convex risk measures on Orlicz spaces
• On convex risk measures on \(L^{p}\)-spaces
• Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces
• A unified framework for utility maximization problems: An Orlicz space approach
• No asymptotic free lunch reviewed in the light of Orlicz spaces

Cites work

• scientific article; zbMATH DE number 3626044 (Why is no real title available?)
• scientific article; zbMATH DE number 1022519 (Why is no real title available?)
• A more general property than domination for sets of probability measures
• A note on stochastic dominance, uniform integrability and lattice properties
• A unified framework for utility maximization problems: An Orlicz space approach
• Aggregation of opinions and risk measures
• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• Arbitrage and duality in nondominated discrete-time models
• Banach lattices
• Dual representation of monotone convex functions on 𝐿⁰
• Duality and General Equilibrium Theory Under Knightian Uncertainty
• Ergodic BSDEs driven by \(G\)-Brownian motion and applications
• Expected utility theory without the completeness axiom.
• Fatou closedness under model uncertainty
• Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Haezendonck-Goovaerts risk measures and Orlicz quantiles
• Intertemporal Preferences for Uncertain Consumption: A Continuous Time Approach
• Maximum Lebesgue extension of monotone convex functions
• Measure theory. Vol. I and II
• Model spaces for risk measures
• Model uncertainty: a reverse approach
• Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty
• Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and \(G\)-Brownian motion
• On Orlicz spaces for a family of measures
• Optimal investment under model uncertainty in nondominated models
• Option spanning beyond \(L_p\)-models
• Options and Efficiency
• Orlicz spaces and modular spaces
• Orlicz spaces for a family of measures
• Positive operators
• Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces
• Quasi-sure stochastic analysis through aggregation
• RISK MEASURES ON ORLICZ HEARTS
• Risk measuring under model uncertainty
• Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
• Spanning and completeness in markets with contingent claims
• Spanning, valuation and options
• Stochastic finance. An introduction in discrete time.
• Stopping Times and Directed Processes
• Superhedging and dynamic risk measures under volatility uncertainty
• Superreplication under model uncertainty in discrete time
• Surplus-invariant risk measures
• The natural Banach space for version independent risk measures
• The universal approximation property. Characterization, construction, representation, and existence
• Viability and arbitrage under Knightian uncertainty
• Wellposedness of second order backward SDEs
• \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type

Cited in

(1)

• Separability vs. robustness of Orlicz spaces: financial and economic perspectives

This page was built for publication: Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5872882)